It's pretension, isn't it? The non-U people think "pudding" sounds "common" so deliberately say "dessert", since they think it sounds posher.* However, I'm sure this is the sort of thing that can quickly shift over time, so in some cases, perhaps what started as a pretentious affectation by "common" people actually becomes the "posh" way of saying things.

* Which is a common theme of "Watching the English", too: there are lots of things that the aspiring middle classes or "new money" wouldn't be seen dead doing, since they think they're "common" - but actually the upper classes do do these things.