It makes perfect sense to me. CDs are dying. Soon they'll be gone forever. I really can't imagine the 9-CD set would sell all that well. Most people would probably just get the digital versions, especially since I'm sure they'd be way cheaper, and the vast majority of people who buy CDs just end up ripping them to digital and listening that way anyway. Plus, to make a 9-CD set where each CD has 4 songs doesn't really make a whole lot of sense. And I would imagine that it's expense to press a 9-CD set, and the price tag would probably be pretty high too. And most of the fans who are willing to spend that much money would probably opt for the vinyl set instead, especially since it comes with a digital download card.
I think the idea behind the CD is more so they have something relatively reasonably priced that they can sell at shows and it would serve as a good introduction to the band for people who aren't that familiar with them and want to check them out, but don't feel like dropping a ton of money on a 9-disc set.