I think that the answer lies in the wrist strap.
Although it may seem relatively unlikely to many of us, it is entirely possible that two players having controllers tethered/connected could lead to trouble (i.e. damaging the wii-mote/classic controller) during the excitement that may ensue during gameplay
Nintendo is obviously quite aware of potential litigation (as seen with the wrist strap replacement and wii-jackets) and would not want their customers to risk harming themselves or damaging their equipment during gameplay. Players being tethered to each other would greatly increase this risk.
On top of this they would prefer it if you bought another wii-mote or two (and a classic controller... and another nun-chuck... and a wii zapper... and a balance board etc.)
07/12/2007
Donkey Kong Country 2: Diddy's Kong Quest
Final dungeon - Ocarina of Clank