Just as multiple apps cannot have the same URL, you need multiple instances of Cassini to expose the apps (i.e. projects) locally. This more closely mimics the way the code will be ultimately deployed. You won't take the output from multiple projects and stick them in a single folder on the production app server, so VS doesn't do it either. Additionally, spawning a new process for each project gives them their own resources, which keeps them from stepping on each other during debugging.
VS 2008 exposes a project level setting that prevents Cassini from starting unless the project is explicitly debugged. Setting this would keep your sites from spinning up if all you want to do is run your unit tests (because those are in a separate project, right?).