Consider expanding on the proof that a $k$-regular graph, for even $k$, cannot have a bridge (an edge cut of odd order). That's done by contradiction. Suppose such a bridge $uv$ exists, and consider the two component graphs of $G-uv$. Now all vertices of each component have even degree except for one ($u$ or $v$). This is a contradiction by the Handshaking Lemma.
What goes wrong below if you remove the odd number of edges in S? How are the vertex degrees in each component affected (shown in red)? It fails on the Handshaking Lemma, or more generally, on the degree sum formula. ![enter image description here](