OK, so I went down the rabbit hole of this, and I'm starting to understand the issue.
Let's take a 10mOhm shunt, in a 2512 package. The WSLT2512 from Vishay has 5nH declared in the datasheet. If I plug this 5nH 10mHohm into a calculator I get 306KHz as the -3dB point.
But this is assuming that the connections going to the shunt have no inductance.
If we have a N connector that has additional ~3nH inductance. This also has capacitance, which for a 50 ohm system compensates for this, but this is not a 50Ohm system, the output is practically 0 ohm. The PCB will probably double this inductance.
10nH 10mOhm has the -3dB point at 150KHz.
To make things worse, they are not going to use a 2512 package resistor, because it's not made from the right metals, so the temperature coeffs are wrong, which makes DC errors. They use Vishay bulk metal foils in a through hole package. They looked like the S series, I don't think the exact package makes a huge difference.
High Frequency Operation
Rise time 1.0 ns at 1 kΩ
Inductance (L)(2) 0.1 μH maximum; 0.08 μH typical
Capacitance (C) 1.0 pF maximum; 0.5 pF typical
Suddenly the inductance is 80nH or let's say 100nH for a single resistor with PCB and connector. The -3dB point is at 15KHz now. But you don't operate at the -3dB point, at that point your AC measurement has 50% error, and your usable bandwidth is likely 1/10th, or even less, because the allowed errors are PPMs
So placing a lot of them in parallel is to reduce the inductance, each parallel path will reduce it.
There is a second component to the construction, about the routing of the current. This is related to the magnetic field of the current.

From what I see, the construction tries to create an area that's free from magnetic fields where the sense line is connected. To understand, first I opted to understand the separation of these lines. Made a very weak microstrip coupler with 100mm length and 10-20mm separation. Run it for 10-100KHz. I know maybe it's not the right way to analyze this, but this is what I can enter into a simulator. So I got anywhere around -80dB-120dB isolation for this coupler. Which doesn't sound like much, -120dB is 1ppm. But here is what I think makes the issue:
This is I think acts as a current transformer. So let's say you have 1A on the primary, and this makes 1uA on the secondary, your output. You connect your output 1uA to a 10Mohm input of a multimeter, this is suddenly 10V. Not exactly, because they DMM input isn't going to be 10MOhm at let's say 10KHz, and I think the coupling may be weaker, but this demonstrates the issue. When PPMs are measured, this matters.
So the magnetic field for that 4th wire connection must be as small as possible. This is why they don't connect it just "next to it" because this way they can make it symmetric and compensate it on the lengths of the wires.
Right now I don't really understand why they make the shunts so "long". I don't think it's for dissipation. There is this research paper where they made them shorter.
https://www.imeko.org/publications/tc4-2014/IMEKO-TC4-2014-309.pdfI also don't get the resistor placement/orientation. I think orienting along the current path would make the current path shorter, so why rotate it?