There are several reasons I can think of:
1) Sega/Mega CD was only moderately successful. It didn't bomb, but it didn't take over the market either.
2) When it was a big deal, there was no economical way to copy games, both due to their size (remember, in 1992-93 you'd be lucky to have a 28.8Kbps modem) and due to the fact that there were no cheap CD burners. By contrast, games for most cartridge-based systems topped out at 6MB, and there was a "copier culture" based on console ROM BBSes that predated widespread consumer access to the Internet, so there were some people out there with huge collections before the Internet "made it big".
3) Real Sega CD emulators only started appearing within the past 9 months or so.
In short, until recently there's been a lack of motivation and/or capability for anyone other than people owning actual Sega CD systems to copy games, and of those people only the ones with broadband connections and CD burners were likely to be the ones doing it. Likewise, it's not particularly easy to find lots of Amiga CD32, 3DO, Jaguar CD, or CD-i games either.