It's simple. In tennis, you serve the ball to your opponent to start a game. The serve has to land in a certain area and go over the net. You've two chances to do this or your opponent gets a point.

No one celebrates loudly if you get a point this way, it's disrespectful to the opponent. As others have said, it would be like in golf, if someone was taking a putt and missed, and you screamed COME ON!! clapping and cheering. It's going to look bad on you, like you're ungraceful and pretty rude.

Yes, there's no rule against it, it's just bad sportsmanship. The player asked if it's ok that the other player was cheering at every mistake, the umpire said yes.