In Drupal any module can inject its own separate stylesheet into the page. It's standard practice to enable Drupal's CSS (and javascript) compression feature once you move the site to production. That they haven't done it suggests the developers aren't very familiar with Drupal, or easily overlook details.

Drupal 7 does this out of the box, with an option to aggregate and compress JS and CSS. I have not developed on Drupal 6 but would be incredibly surprised if there wasn't at least a community developed module to do this.

It's rarely beneficial to compress to one single file, but I completely agree that the way they are doing it it very inefficient, especially spamming the @import notation.