"Why is this true?"
(that $f(x+y) \ne f(x)+f(y)$).
Because
the functions that satisfy
$f(x+y)=f(x)+f(y)$
and are not badly behaved
(continuous will work)
are all linear,
so that
$f(x) = cx$
for some real $c$.
So if you try
$f(x) = \sqrt{x}$,
you can not have
$f(x+y) = f(x)+f(y)$.
There are (at least)
two ways to prove this.
First,
if
$f(x+y) = f(x)+f(y)$,
then
$\sqrt{x+y} = \sqrt{x}+\sqrt{y}$,
then,
squaring,
we get
$x+y = x+y+2\sqrt{xy}$,
so that
$2\sqrt{xy} = 0$,
so that
$xy = 0$,
or at least one of $x$
and $y$ is zero.
Second,
if we use the result
that $f(x) = cx$
for some real $c$,
then
$\sqrt{x} = cx$.
Squaring and dividing by $x$,
we get
$1=c^2x$,
which can not hold
for any constant $c$.