Why isn't dragon weak to steel?
Everyone knows brave men kill dragons. There are a number of mythical stories about dragon slaying. The best knights often used swords.
Answers
Fairy is, like, the forces of good or something. They could've been the Light type but that's too boring and stereotypical, instead they have a mischievous streak. Fairy being immune to Dragon type moves is too much tho. But Fairy being weak to Steel makes sense according to legends: horseshoes on doors are protection against wicked elves in folkore.
Conceptually fairy's dragon immunity doesn't resonate but balance wise it is useful. Steel is the ONLY type to resist dragon, and although dragon is only super effective against dragon, the majority of dragon type Pokémon in the main series, as you know (you in particular, based on your knowledge of the main series I've seen in other posts) have higher total base stats and typically are the 600 base stat Pokémon of each generation (dragonite, mence, chomp, haxorus, kommo, etc.) and have access to high power moves. It helps to have a type that is immune that to a dragon danced outraging dragonite!