But with "if" we don't use "so", for example we say "If you are a native you must know the way" or "If you are a native, then you must know the way". But we don't say "If you are a native, so you must know the way." Then how can we say "So what if you are late" ?
Yes, but is the "if......so" structure considered correct ? We don't say "If I come late so leave without me." We say "If I come late then leave without me." My original sentence was "So what if I came late", which is equivalent to "If I came late so what", which uses a "so-clause" with an "if clause".