That's because of the daughters of King Nikola who married into those houses. As it is, they are the only other European royals the present-day head of the house of Petrovich-Njegosh is related to, since his mother was born a commoner.
By contrast, the sons of Crown Prince Alexander II Karageoegevich of Serbia are related to just about every house listed in the GOTHA, precisely because of their descent from King Nikola of Montenegro, King Peter I of Serbia, Queen Victoria of Great Britain, King Christian IX of Denmark, Czar Alexander II of Russia, the kings of Prussia, kings of Spain and the Two Sicilies, Holy Roman Emperor Leopold II, King Louis-Philippe of the French, kings of Portugal and Emperor Pedro of Brazil.
It's interesting that they're related to a Catholic dynasty (e.g. the princely house of Hohenzollern-Sigmaringen) through their Orthodox father, who represents the Protestant-Orthodox bloc of European royals. They're also related to a couple of Protestant houses (e.g. Coburg and Mecklenburg-Schwerin) through their Catholic mother, who is related to all the other Catholic royals of Europe.
Of course, they also have ties to the Coburgs through their father as well. So Peter, Philip and Alexander can rightfully claim to be the most closely and directly related to the most European royals.
The Montenegrin RF is related to the Savoys, the Serbian RF & the Bulgarian RF
What do you consider related and unrelated? Every single existing reigning and non-reigning European royal family (except for Montenegro!) in the Gotha have Frederick I, Margrave of Brandenburg-Ansbach and Sophia Jagiellon, Princess of Poland as their most recent known common ancestors, so they’re all related in the sense that they can be connected to one another genealogically.
Well yes: even a tenth cousin is still a cousin. Indeed, because of his descent from the famous Catholic monarchs of Spain (i.e. Ferdinand and Isabella), not to mention Prince Johann II of Anhalt-Dessau, even the Muslim Crown Prince Leka II of Albania is related to almost all the other royals.
What I wanted to focus on were the royals who had the closest and most direct ties to as many houses in the GOTHA as possible. And because of their descent from the native, upstart dynasties of Serbia and Montenegro, the sons of Crown Prince Alexander seem the best bet.