Why is the oxidation of sulfur dioxide not termed as heat of formation of sulfur trioxide?
Heat of formation is the enthalpy difference to the elements in standard state as defined by IUPAC, which is in most cases their most thermodynamically stable form at STP.

It is completely irrelevant if the respective chemical equation makes any sense, i.e. it would work out in a laboratory. However high the number of intermediate steps to reach the desired product is, energy is always conserved.