I thought that in the episode they said it was because the whole nature of being a Trill was about new experiences, new people.. I could get if it was about leaving the new host to their own experiences and not involving them in previous loves, but don't think it was about this. Besides, the host/slug thingie are one new whole so should be able to decide together what will happen next.
Such a forward-thinking, yet deep-seated, taboo doesn't make much sense though without an evolutionary component. Similar to the incest taboo having a biological component*. Would have been interesting to see this more explored, but if I recall...they already did a 'Dark secret of the Trill' episode.
*Again, like the TNG ep with David Ogden Stiers. Their tradition seems dumb as hell right now, but at one time made sense.