Why do recipes have the instruction to fry in olive oil?
I would suggest three reasons:


The smoke point of olive oil, while lower than many oils, is higher than most items you would deep fry (375 - 490 F or 190 - 255C, depending on the olive oil). 
Tradition - if it is the oil that is most plentiful, it is the oil that is used.
Flavor - olive oil imparts a distinct flavor (as other oils do).