Why does VGA have so many ground pins (compared to DVI-I for example)?
First: What's critical isn't so much that there's a ground pin for each signal as much as that there's a ground pin near each color signal. The cross-shaped ground pin largely satisfies that requirement.

Second: DVI doesn't prioritize high-quality analog video -- it's a Digital Video Interface, after all. The small loss of quality incurred by using a single analog ground pin was probably considered acceptable by the designers.