Ex-Mormon here (born and raised in a Mormon in Texas, outside the Mormon bubble of Utah, but went to BYU for 6 years, plus live in Utah now). I agree with all the comments that your observation is probably anecdotal, but i can't deny that my own experience as a Mormon and among Mormons has been similar, lots of love for sff.

If i could give any explanation (which would also be anecdotal) I'd say there are a number of doctrinal factors that might lead a member towards sff.

1) Mormon afterlife- simplest explanation is that the most righteous become gods and goddesses, with their own worlds to tend. I know a common question among my lds friends and i as kids was "what will your worlds be like" even among the ones who weren't as into sff.

2) Mormonism, more than any other religion i know (admittedly biased) tries very hard to be rational despite some of the more mystical aspects, with 'apologetics' (defending ones faith with reason) being a common pastime of many members. The rational aspects i would imagine make sci fi appealing, and the mystical aspects make fantasy appealing (and this tendency to make the irrational rational is one of the reasons, i believe, that Sanderson insists magic systems be so logical, at least within the context of their own world)

Ultimately not being able to rationalize every aspect of the religion is what lead me to leave it (rather recently actually) but i still hold a respect for their efforts to try and never answer a question with "because that's just the way it is".

These are just my observations. It's what led me to sff certainly, and many of my friends would say the same. It even influences my own writing, very heavily actually, despite my move to atheism.