I was mostly parroting what I had heard in tutorials, but here are the docs on the subject:
On the React install page, they say you can try it out with CDN links, but "It does a slow runtime code transformation, so don't use it in production. If you want to use it for a full application, there are two popular ways to get started with React: using Create React App, or adding it to an existing application."
The CDN argument for Vue often references its size (the smallest of the popular frameworks after the 2.0 upgrade), see a comparison here, but beyond that the Vue.js Docs Framework Comparison, they (vetted by React team) write:
React is renowned for its steep learning curve. Before you can really get started, you need to know about JSX and probably ES2015+, since many examples use React’s class syntax. You also have to learn about build systems, because although you could technically use Babel Standalone to live-compile your code in the browser, it’s absolutely not suitable for production.
While Vue scales up just as well as, if not better than React, it also scales down just as well as jQuery. That’s right - all you have to do is drop a single script tag into a page:
Then you can start writing Vue code and even ship the minified version to production without feeling guilty or having to worry about performance problems.
I think the reason Vue can do this has to do with something under the hood having to do with its templating and rendering systems, but I'll have to dig a little deeper some other time.