Mainly it us just a matter of maximizing your variance.
That’s an important consideration, especially in a contest involving a large number of participants (as you noted). A simpler and equally valid rationale for the {20%x4, 5%x4} allocation in the SI contest is that you want to give the maximum possible weight to your best investment ideas.
“The efficient-market hypothesis may be the foremost piece of B.S. ever promulgated in any area of human knowledge!”