Well how else do we get to see each character's goals achieved? We have to have some, in fact, a lot of contingency between each game, especially the heroes.
The Quintology is all about Abe and his journey to the heart of consumerism. He is the main character, even though in individual games, other characters are top. Each character introduced has issues that can't get solved till the end of the story, and the Quintology is one great story, merely split into five unequal fractions.
The Inhabitants all live on Oddworld together, and cannot do things without one another. Munch is a good example - he can swim pretty well, and knows his wheelchairs, but his main enemy is up in the air. The heroes need each other. That's why they will remain together.
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