It seems like it's because Dalinar is the modern embodiment of Honor, or close enough to it. Szeth has also fought Dalinar multiple times, and respected him a lot because of how he fought. The people surrounding Dalinar had an influence too, Szeth was jealous of Kaladin because he was the one to defend him in thaylen city, even though Kaladin killed Szeth (or left him to die).
Also I didn't feel like Nale was saying it was necessarily a bad idea to swear the oath to a man. Nale was assuming Szeth wanted to swear to him, which Nale implies SB's have done before, but he doesn't approve because he knows about his current insanity.