Why do 3rd company devs make games for one console?
1) Lower development costs. Making engines that work on multiple consoles takes longer/costs more than making one engine for a single console. This day and age though small devs would usually buy a 3rd party engine anyway.
2) Lower risk. Rockstar wasn't sure how well GTA3 would sell, so they decided to put it on a console as well as the PC. They picked the PS2 because it had the biggest userbase.
3) Optimization. MGS4 and FF13 are designed for the PS3 and will use the PS3's unique features (namely Bluray space.) Anything Nintendo makes for the Wii will use motion controls as a major feature. Compare this to Madden's add-on waggle for their Wii ports or complaints of suboptimal PS3 performance.
I'm sure if every developer had infinite time and money they would make games for all consoles. Sadly, reality sometimes sucks.
There is no such thing as a console war. This is the first step to game design.
