It's because C/C++ still doesn't have a decent module system, nor a universally accepted library distribution system. You can still write the project as separate files and the concatenate them for distribution.
I agree with you in principle though. A directory of header files is, in practice, and in my experience, no more difficult to work with than a single header file and (can) allow for more modularity.
An stb library is often the precise mess you need, and maybe even the one you deserve, with none of the seemingly-infinite, unbounded dependency messiness that you don't.
Sean's doing the Lord's work here, or at least the Buddha's.