Presumably it's the fact that syntactic analysis involves assigning parts of speech and function to tokens, which in English and Spanish are usually words separated by spaces:
Say it to me
V Pronoun Preposition Pronoun
\/ \/
VP PP
But "dímelo" is just one word. You need to tokenize it into "dí me lo" before parsing, and presumably that's not immediately obvious to kids.
Another example, this time from formal Portuguese:
Exactly. Sorry for the level of detail for the non-spanish speakers, but I was on mobile.
Such "onewordness" is not universal, though, it's just usage (as you could see "goal keeper" evolving into "goal-keeper" and then just "goalkeeper")
For example, if you insist on requesting "Dímelo", you might say, "¿Me lo dices?", which, by jumping from exhortation to questioning, splits the word. And in general, although "decirse" and "decirlo" might be treated as infinitive, the verb is actually "decir", and no dictionary will treat them as separate verbs.
Another example, this time from formal Portuguese: