There's no stigma associated with trying to be more knowledgeable by, say studying history.

The associated word is nerd. There a stigma for that.

There's no stigma associated with... getting in better shape.

Having the body of a bodybuilder isn't likely to make you seen as high status in an academic conference.

There's no stigma associated with self improvement. Say, wanting to be more confident.

There a huge stigma associated with self help.

why is there such a stigma associated with rationality?

Do you mean "rationality" as defined in the LW-Wiki or rationality as the term is commonly understood out there?

Having just been at the LW Community camp in Berlin it's difficult for me to put a finger on what's connecting this community. There are people who explicitly don't label as rationalist but use phrases like "socially optimal" in normal conversation. It seems that there a clear cluster in which people of this community fall whether or not a person holds various individual beliefs.