They must have some limit. EC Keys are roughly 32 (256 bit) or 48 (384 bit) bytes (x2 to store the public half, right?), and most of these devices don't have MB of storage afaik... I think they have security chips with like 64-256kb of secure storage. So once you get into the range of thousands of sites, wouldn't you run out of room?
ETA: thanks akerl, I didn't realize that's what they (or most of them) were doing; I didn't even realize deterministically generating an EC key from a seed was efficient enough to do it quickly on a tiny embedded chip.