In particular, space-time can emerge from what we normally think of as inhabiting the universe - matter and energy. It's not like we have space and time first and then we add material. Matter and energy need to be a necessary condition for the origin of space and time.
Space-time is an imaginary construct because neither space nor time is natural and therefore not physical. The word natural simply means existing or arising in nature; not made or created by mankind.
Both space and time don't exist in human perception and are not physically perceptible. Space and time, even spacetime exist as thoughts or concepts but do not have a physical or concrete existence. So of course they are not natural.
Space and time never arose from nature but emerged as concepts from physical existence and events respectively, without existence and events, both space and time, as we know them, simply would not emerge; If there was no existence and no event.
Special relativity disregards classical space and time but takes away the independence of time and naturalised time. Hence space-time is wrongly considered natural.