Unfortunately, the PRTExport procedure that performs the actual saving expects a single particle source node.
You can check the actual code under \Krakatoa Maya\Maya201X_x64\scripts\KMY2PRT_Saver.mel
When you select multiple particle sources to save, each one gets saved to its own PRT sequence named according to the name of the particle source.
A possible workaround would be to create a PRT Loader and pick all PRT sequences saved from the single Saver run, then resave the PRT Loader to a new sequence - the resulting PRTs will contain the combined streams of all sources. However, this can lead to some issues - if the combined PRT contains multiple particles that have the same ID, this can produce incorrect results from some functions that depend on a unique ID channel (for example “Interpolate Sub-Frames”). Once you have the combined PRT sequence, you could delete the original sources.
We felt that since the PRT Loader has the ability to load multiple source sequences in one node, saving each particle object to its own PRT does not affect your ability to render, and also gives you added flexibility to toggle individual particle source streams on and off without resaving the source data.
I agree that from asset management point of view this can be a drawback (too many files to deal with).
Krakatoa MX for example allows you to save all particles at once in one PRT, but it uses the renderer itself to load the combined streams and save the PRTs to disk. Some felt using the renderer to perform the saving was a bad design idea. I lost the argument