Is there a reason why custom field sets cannot be multiple value?
The documentation says they are only possible for contact records. See https://docs.civicrm.org/user/en/latest/organising-your-data/creating-custom-fields/#multiple-record-fieldsets. I expect the reason for this is that it would have been a lot more effort to add it for all for other entities. There are some built in ones for contacts so I guess it was easier to extend for contacts. It wasn't there from the start