Why do we say "Never Mix Business With Pleasure"?

Meaning:

Keep your work separate from your private life; don’t do business with friends.

Background:

This expression is believed to trace back to at least the early 1900s, and presumably was well in use by 1934 as F. Scott Fitzgerald uses a play on it in Tender is the Night:

“She was so damn brave,” said Dick. “And it took her so long.” Franz shook his head sympathetically and Dick got himself together. “Excuse me for interrupting you.”
“This is just a change—the situation is a father’s problem with his son—the father can’t get the son up here. He wants somebody to come down there.”
“What is it? Alcoholism? Homosexuality? When you say Lausanne—”
“A little of everything.”
“I’ll go down. Is there any money in it?”
“Quite a lot, I’d say. Count on staying two or three days, and get the boy up here if he needs to be watched. In any case take your time, take your ease; combine business with pleasure.”

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