The Chicago Manual of Style, sixteenth edition (2010) has a useful and detailed discussion of this issue. Here is part of that discussion:
8.46 Regions of the world and national regions. Terms that denote regions of the world or of a particular country are often capitalized, as are a few of the adjectives and nouns derived from such terms. The following examples illustrate not only the principles sketched in [an earlier section of CMOS] but also variations based on context and usage. ... Note that exceptions based on specific regional, political, or historical contexts are inevitable and that an author's strong preference should usually be respected.
[Relevant examples:] the South, southern, a southerner (of a country); the South, Southern, a Southerner (in American Civil War contexts); the Deep South; Southern California; the South of France (region); Southeast Asia; South Africa; South African (referring to the Republic of South Africa); southern Africa (referring to the southern part of the continent); south; southern; southward; to the south (directions)
CMOS recognizes that common usage and context determine conventional approaches to capitalization in connection with the treatment of certain terms related to regions. By prevailing usage, roughly the most southerly one-third or two-fifths of California is referred to as Southern California, in initial caps. There may be disagreement about where the border of Southern California begins, just as there was and is about the border of the Wild West, but the fact that the Los Angeles metropolitan area, Orange County, and San Diego are all located in Southern California is beyond debate.
At 8.47 ("Popular place names or epithets"), CMOS notes that certain other regions and epithets receive initial caps as well. For example, Silicon Valley isn't a proprietary name or legally defined area, but it receives initial caps anyway. And Wisconsin is known as the Badger State (not "the badger state") even though its official name is Wisconsin.
So the upshot of my answer is that you didn't miss the memo (or perhaps I should say The Memo) on this issue, but at the same time you didn't notice a larger phenomenon in accordance with which initial-capping Southern California is by no means a unique, inexplicable, or indefensible treatment of a regional name.