I'm not sure why its confusing. Conservatives have historically proclaimed themselves to be (in their words even if the actions don't always match) in favor of small government, reduced government spending, and the minimal taxation required to keep a small government functioning.
FDR implemented a bunch of large social programs which naturally grow the government, spend more money, and therefore require more tax dollars to fund.
Social programs that redistribute money have long been considered a form of forced charity which many conservatives think is immoral.
Disclaimer: Not taking a side here. In 2022 I don't think we have a "good" political party in the US let alone a perfect one.
“Conservatism” is a tent with a lot of different groups, most of whom dislike FDR for somewhat different reasons. There’s small government conservatives like you mention. There are legal conservatives who are animated more by being sticklers for the rules than opposition to government social programs per se. There’s also lots of folks, maybe the biggest group, who like the New Deal but resent FDR judicial appointees for their tendency to ignore clear Constitutional limits on the federal government one hand, while on the other hand reading in lots of restrictions on state moral and social regulation that aren’t so apparent in the Constitutional text or history.
Seriously, this is not a sarcastic or troll post. I have always been confused about this.