It isn't there in black and white, as a lot of immigration law isn't. However, what is stated is that when you enter the UK on a particular visa you are making a statement to the IO about your immigration status. Entering the UK on a fiancee visa is stating that you are a fiancee. If you are married, you are not a fiancee, but a spouse, so the IO *can* make trouble for you, as you could be deemed to be attempting to make a false declaration about your status. Even if this may only happen when the IO has had a bad day, it's simply not worth the risk. A former colleague of mine who was an IO told me stories about colleagues who used to get kicks out of making women in this situation cry on their return from their honeymoon ....
Vicky