Hi Charles,
The "se" makes the verb pronominal. In other words, it's specifying to which person is the action done (like a pronoun would).
If you say:
*1) Me ha decepcionado muchísimo que se lo hayas dicho (your disappointment comes because the person you're addressing said that to him/her)
*2) Me ha decepcionado muchísimo que me lo hayas dicho (because that person said that to me)
*3) Me ha decepcionado muchísimo que lo hayas dicho (simply and merely because that person said that, regardless of to whom)
Please notice in case 1 you may be sad, for instance, because that person (the receiver of "se") would be offended if that is said to him/her, or because you can no longer give him/her a surprise (just examples), whereas in case 3 the single fact that the person expressed that words/thought/etc. is what makes you upset.
HTH! :)