I’m sure there is a good (or at least decent) reason for this. What is it?
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Because you can easily end up with a deadlock (among other issues).
For exmaple, your secondary thread could be trying to update the UI control, but the UI control will be waiting for a resource locked by the secondary thread to be released, so both threads end up waiting for each other to finish. As others have commented this situation is not unique to UI code, but is particularly common.
In other languages such as C++ you are free to try and do this (without an exception being thrown as in WinForms), but your application may freeze and stop responding should a deadlock occur.
Incidentally, you can easily tell the UI thread that you want to update a control, just create a delegate, then call the (asynchronous) BeginInvoke method on that control passing it your delegate. E.g.
This is the equivalent to doing a C++/MFC PostMessage from a worker thread