Why shouldn't data be loaded into enterprise geodatabase logged in with sde user?

The ArcSDE administrative user (sdeuser) account is responsible for the administration of the following:

ArcSDE geodatabase system tables, triggers, and procedures

The ArcSDE service

Versions

The ArcSDE administrator owns all the ArcSDE geodatabase system files, directories, and tables. For this reason, the ArcSDE administrative account must be created before the geodatabase can be created. The database administrator (DBA) creates the ArcSDE administrator and grants this user the necessary permissions. On Windows installations, this can be accomplished through the Post Installation wizard. On UNIX/Linux, this is done manually, and how it is done depends on the operating system and database management system (DBMS) you are using.

All other users must be GRANTED Permissions on their accounts to load/change/delete data.

Key to this is:

It is recommended that the ArcSDE administrator and its schema only be used to manage and store ArcSDE system tables. You should create separate user schemas in which to store your ArcSDE data objects such as feature classes and raster datasets. You should not store these objects in the ArcSDE administrator’s storage space, since you could possibly crash the ArcSDE service by filling up the ArcSDE administrator’s space

Full Documentation: http://webhelp.esri.com/arcgisserver/9.3/java/index.htm#geodatabases/user_pe-564470524.htm

You do not want SDE owning the data. You also do not want your table spaces to be intertwined with your SDE table spaces (database administration and performance side of house). It can make upgrades and other data manipulation more complex. Also, when you log in as SDE you have elevated privileges which means you may accidentally run an action that would impact the entire geodatabase, where if you were logged in as a different user that would be nearly impossible.

There are plenty more considerations but these are a just a few.