I was watching an online course (The Calculus You Need - MIT OpenCourseWare), when (around 03:08), the lecturer (Gilbert Strang) says that he doesn't "care what that dummy variable is" (the variable x associated with the function y). He made the following change in the video:
$$\frac{d}{dx}\int_{0}^{x}y(x) = y(x)\Rightarrow \text{ change } \Rightarrow\frac{d}{dx}\int_{0}^{x}y(t)dt = y(x)$$
I don't know why the notation of that variable doesn't cause any ambiguity here (I'm assuming Strang wanted to mean that), once x is clearly creating a dependency relation with the bound and the variable associated with the function y.
Ultimately... why it doesn't make a difference to call the variable associated with y by x (in this case)? What exactly is a 'dummy variable'?
You have asked two questions, one about whether the name of a variable matters, the other about dummy variables. They're different but related.
Strictly speaking, it does not matter what you name your variables. If you have a function $f$ from, say, $\mathbb{R}$ to itself then the elements in both the domain and the codomain are real numbers. You may often see this described as "$y = f(x)$". That usually does no damage, and sometimes helps keep the meaning of numbers straight - those called "$x$" are in the domain while those called "$y$" are in the codomain. But that's not at all required and is sometimes confusing. You should talk about the function $\sin$, not the function $\sin(x)$.
Now for dummy variables. The expression $$ \sum_{n=1}^3 n^2 $$ means just $$ 1^2 + 2^2 +3^2 . $$ There is no "$n$" in it. You could write the same thing as $$ \sum_{@=1}^3 @^2 . $$ The $n$ and the $@$ are dummy variables - they are not there. The same is true for the "variable of integration": $$ \int_1^2 \sin(x) dx = \int_1^2 \sin(@) d@ = \int_1^2 \sin . $$ The last of these is unambiguous when you work with $\sin$ as a real valued function of a real variable.
That said, there are times when a (dummy) variable of integration is helpful. With it you can distinguish between $$ \int_1^2 \sin(xt^2) dx \text{ and } \int_1^2 \sin(xt^2) dt . $$ The first is a number that depends on the value of $t$, the second a number that depends on the value of $x$.
The dummy variable $x$ and the $dx$ are quite important when you think about applications of integrals in geometry and physics. If you imagine the integral of $\sin$ as calculating the area under the sine curve then the expression $$ \sin(x) dx $$ is the (infinitesimal) area of a rectangle with height $\sin(x)$ and (infinitesimal) base $dx$. Each of those quantities has units length and their product has units area. The integral sign is Leibniz's elongated "S", for "sum".