if I had to guess, I’d say this is to limit claim payouts (your case in point). With insurance, they are going to predict how much they can afford to pay out and what the scenarios are to limit the payouts to the predicted amount. There are trade offs here. So essentially, they chose to restrict to round trips to limit their liability.

to be fair, Amex will cover round trips booked as multiple one-ways.

again, the coverage of one-ways are one reason why I much prefer the Chase insurance. Sure, they won’t cover a lost passport while Amex will, but that is just a difference on what either insurance is using as a trade-off.