Maybe this is something you do you need to worry about.  Or not.  I mean, who am I to say what you should worry about?  But if you need something to worry about...

There are those who argue that you should never start a sentence with "so," or, for that matter, any of the other connecting words, such as "and" or "but."  The argument goes that because they are connecting words, then they are actually meant to connect something in the same sentence.  Their argument goes, for instance, that you shouldn't write, "I like peas.  And corn."  There, I have to agree with them, not being a fan of incomplete sentences.  Usually.  And those same intrepid grammarians (which would make a great name for a band) also argue that when a connecting word is being used in a Coordinating Conjunction, then the entire purpose of that coordinating conjunction is lost if you use a period.  However, because a comma and one of those little seven words that make a coordinating conjunction a coordinating conjunction (so, or, for, and, yet, but, nor) are the same as a period, then, the way I see it, period or comma, there is no difference.  For instance:  We went to the bank, so we can get some money.  Or:  We went to the bank.  So we can get some money.  Same difference either way.

However, when you start a conversation with "so," then there's a problem.  "So," when it's not being used as an adverb, where it means "very" (as in "We were going so fast!"), means the same as "therefore," as in:  "Because of this, therefore, this."  But when you begin a conversation with "So," it's relative to nothing.  There is no "Because of this...."  And, if nothing else, that just makes it confusing.  Here's the simple rule:  If you use a connecting word, it has to connect to something.

At best, when you start a conversation (or an essay, or perhaps even a paragraph) with "so," it becomes a pointless word, right up there with starting a sentence with "well" or "now."  Perhaps it's a bit more sophisticated than saying "Ummm..." but it's the grammatical equivalent.

More so, it has become a Cliché.  For whatever reasons words or phrases become popular, it has.  Listen for it.  You will hear people start conversations all the time with "so."  You get extra points if they're on TV.  And here's the thing:  If you are not paying attention to the words and phrases that you use, in short, if you're not trying to be original... then there is no point in anybody else's paying attention to anything you have to say.

So stop starting conversations with "So."

  

The More Technical Explanation

The word "so," like virtually every word in existence, can have more than one part of speech, depending on how it is used.  Take the following sentence:

So what's so wrong about using the word "so"?

The first "so" is a connecting word (a conjunction), even though there is nothing that it is connected to.  The second "so" is an adverb.  And the third "so" is a noun.

As a conjunction, "so" can mean "and for this reason," which is pretty much the same as "therefore."  For instance, all the following sentences mean the same thing: 

I have a toddler, so I don't leave loaded bear traps in the house.

I have a toddler; therefore, I don't leave loaded bear traps in my house.

I have a toddler, and for this reason I don't leave loaded bear traps in my house.

As a conjunction, it can also mean "in order that."  For instance, both of the following sentences mean the same thing: 

We all got on the roof so we could better see the end of the world.

We all got on the roof in order that we could better see the end of the world.

As an adverb, "so" is a word that modifies a verb, another adverb, or an adjective.  Above it modifies the adjective "wrong."   As an adverb, it can mean "to a great extent," which is pretty much the same thing as "very."  For instance, the following sentences mean the same thing:

We were going so fast!

We were going very fast!

We were going to a great extent fast!

Or it can be a noun.  Any word that is the subject or the object of a sentence or a phrase is a noun.  That's just the way the language works.  Take the following sentences:

            "So" is a confusing word.

            You should never start a sentence with "so."

In the first sentence, "So" is the subject of the sentence (This is a confusing word), and that makes it a noun, at least as long as it stays right there.  And in the second sentence, it's the object of the preposition "with" (You should never start a sentence with this), and the objects of prepositions are nouns.  Always.