It's not really a limitation; it's the nature of the file system. The command processors are looking for a particular file called AUTOEXEC.BAT. Since only one file of that name can reside in any directory, there's only one that can run. The folks writing the command processor would have to program in a menu system. If you look at what the Windows 2000/XP boot system does, that's what they have done.
This was first published in April 2002