The reason it is penalized is to stop collusion and giving an unfair advantage to other players. Let me just give you two examples to the above reasons.
Player A and player B are working together to try win, this could entail anything from soft playing each other to just straight dumping of chips. So lets just say in a hand we get to the river, maybe 3 players were in until the turn but say player A or B made a ridiculous bet, so the other non-colluding player folds. Then say A or B just straight up folds on the river, giving the other player a pot without having to show down.
Ok granted the above isn't exactly something you'd likely see as it's so obvious but it is more so just to give you an idea, you can imagine some situations yourself I'm sure.
Now for the fairness of the game aspect, open folding when you can check gives players to act an unfair advantage. Let's says we have player A,B and C in a pot. Now player B might be holding a small piece of the board or have ok holdings, but something they're not comfortable betting into 2 people. Now player A all of a sudden open folds. Player B's decision all of a sudden is a heads-up situation, his bet doesn't have to beat two players, just one. So by player A open folding they have potentially unfairly effected player C and maybe the entire hand.
Maybe if player A just checks, B checks behind and C has a very different decision. Now the person might not have meant to give other players an unfair advantage but just because you didn't mean for it to do so doesn't mean it didn't happen. Their open folding changes the table dynamic a great deal.
It is a standard ruling in most places(never worked or played anywhere that didn't enforce it), and I have enforced it many times as a dealer. Expect other dealers to enforce it too.