First: because the more export routes Russia has... and the more direct access it has to client states, the less leverage Europe has when it negotiates with Russia. Imagine the EU's (or Ukraine's) bargaining position if the Russians had gas export pipelines to China.

Second: Because South Stream is a direct competitor to Nabucco, where German interests are greater.

Third: Russian infrastructure on Serb territory will increase Serbia's political power. It's not as easy bombing Russian gas storage facilities as it is bombing Serbia's (which, by the way was the case in Novi Sad during NATO's 78 day bombing campaign of civilian infrastructure)

I'm sure Jerome (who certainly has more knowledge of the energy & infrastructure situation than I do) could add a couple of remarks on this one.