To my knowledge, the issue is it is not coated in a fire retardent (CL2/CL3 rated) material, and as such if there were a fire, it would heat up almost instantly, and become essentially a fuse with a high heat melting plastic sheath...accellerating the progress of a fire to other parts of a house.

This is the same reason extension cables, and power cables being put in wall are not to code.