The state should not get involved in business - period.  This applies in almost any country and many countries have effectively followed this practice to their great benefit.
There are several reasons.  1. The people in government are politicians and are usually not good business people. We are seeing this too often in SA.
2. The sale of SOE's to the private sector will bring in huge amounts of money to the fiscus.
3. In SA the ANC cadre deployment has resulted in incompetents being placed in positions of high responsibility - with disastrous results,
4.  Many in these positions see $ signs from all the money involved and cannot resist enriching themselves via a host of dodgy processes.
5. Many large SOEs could be sold to a number of private companies so that competition could bring down prices. SOEs  tend to be monopolistic and because of this prices rise.  Eskom is a case in point.
6. Tax money that could be far more effectively used gets channelled to propping up failing SOEs.