I think it's because some people and style guides (e.g. Strunk & White) reject this use of "so" as being a generic, overly vague intensifier. Often these people suggest pairing it with a "that" clause, which allegedly makes it more acceptable.

So, instead of "so fun", some people would prefer that you write e.g. "so fun that I squealed with glee", or even just "it was incredibly fun".

At least that's the argument I've come across. To the extent I even think about such things, I couldn't really care less if people use "so" like this; the meaning seems perfectly clear.