A comma can be used to separate clauses in the same sentence. It doesn't always go after the word "therefore". One of the most famous quotes containing the word is:
I think, therefore I am.
"Therefore" is a conjunctive adverb that you can use as a transition word in sentences and paragraphs. In your example, it begins a sentence, so there must have been a sentence before it that relates to it. The comma is there to show that you have made a transition between two linked clauses. For example:
John was born in England. Therefore, John is British.
This could also be written with a semicolon:
John was born in England; therefore, John is British.
"So" is different from "therefore" as it can be a conjunction or a basic adverb, whereas "therefore" can only be a conjunction. "So" is far less formal than "therefore". You can use "so" to join things that naturally followed one another, whereas "therefore" introduces logical conclusions proved by the previous statement.
We planned to go to the zoo but it rained so we went somewhere else.
Going somewhere else was not a logical conclusion based on the information that preceded it. It was just the thing that followed. They could have gone to the zoo in the rain! So really there is no need for a comma to break up this train of thought into separate clauses.