Because those who are "socially progressive and economically conservative" are operating from the classical liberal sense of personal freedom and freedom from government control on the market. Liberalism and capitalism are progressive ideas when they first came out, as these ideas were opposing the aristocratic hierarchy and government control of economy to turn profit (mercantilism). Now, with aristocracy pretty much gone, personal liberty is practically non-questionable, and free market is widely adopted, these are given and hence became "conservative" in the modern sense.