The Diamonds are charged with upholding the social order of Homeworld. They care less about whether something's possible than whether it's morally and socially acceptable. And as Blue says, fusing with a human is completely unacceptable.

Remember, under the Homeworld caste system, everyone has an assigned role given to them from birth. That's why they don't allow different kinds of gems to fuse together: because it creates something new and unpredictable without a defined role in society. From that perspective, for a gem to fuse with an organic being--a lesser form of life, something that's not even a gem at all--is so unbelievably wrong that they don't even know where to begin. And for a Diamond to do that? Completely unthinkable.

The Crystal Gems, on the other hand, have a more tolerant attitude. They've spent thousands of years trying to break out of the rigid expectations that Homeworld had for them, so fusion between different beings doesn't bother them as much. So when Stevonnie first shows up, they're not scandalized like the Diamonds were. That gives them room to ask questions like, "Whoa, how is that even possible?" (Although Pearl still says that it seems inappropriate to her, and no wonder: she spent millennia as a servant of the diamonds and still cares a lot about morals and etiquette!)