Most PS1 games that were on 2, 3 or 4 discs did that because they used a lot of FMV cutscenes. Nearly every PS1 game that did that, had the game itself stored on all the discs and the disc swapping was only done for when new FMV was called for.
Given the PC Engine CD has no native FMV capability (like CinePak, M-JPEG, MPEG1, or custom formats) and therefore any cutscenes in PCE CD games were actually just animated sprite and background graphics, a technique that likely didn't need that much storage space... I'd say it's fairly self-evident why the PC Engine CD never needed games on 2 or more discs. The kinds of games of the time, the lack of FMV capability and games not usually needing tons of music, none of this software really needed more than 1 disc.