Not sure if that limitation is covered in the Zigbee2MQTT installation and configuration or getting-started documentation but it is at least explained in their FAQ, see → General limitations that apply to all Zigbee implementations
I think that the ZHA inetgration documenation does make that fact perfectly clear in both its “Introduction” section at the top as well as in “Limitations” under the troubleshooting section, see → Zigbee Home Automation - Home Assistant
As that is a limitation in the official Zigbee specification it applies to all Zigbee gateway implementations, so I guess it is assumed to be self-evident and as such presumed is so obvious that there is no need for proof or further explanation.
However since both the ZHA integration and the Zigbee2MQTT projects (as well as their dependencies) have community-maintained documentation were it is meant that anyone can contribute to make it better please feel free to improve them, and that means you too!
See here for ZHA:
and here for Zigbee2MQTT (Z2M):
"Introduction
This ZHA integration is a hardware-independent Zigbee gateway implementation that can replace most proprietary Zigbee gateways/bridges/hubs/controllers. Zigbee is a low-bandwidth communication protocol that relies on using small low-power digital radios to connect compatible devices to local Zigbee wireless private area networks. ZHA will create a single Zigbee network to which you can then pair/join most Zigbee-based devices that are made for home automation and lighting.
Before installing the ZHA integration in Home Assistant, you need to connect a Zigbee Coordinator radio adapter that will connect to your Zigbee network. Those normally come in the form of a USB dongle that plugs directly into the same computer that is running your Home Assistant installation. The ZHA integration is compatible with many different “Zigbee Coordinator” adapters from various manufacturers. Be sure to note the recommendations in the respective sections below before buying a Zigbee Coordinator. A Zigbee network always needs to have one Zigbee Coordinator (it can never have more than one), and Zigbee devices can never be connected to more than a single Zigbee network, however, a Zigbee network can have multiple “Zigbee Router” devices and “Zigbee End Device” products.
Once ZHA has been set up with a Zigbee Coordinator it will automatically create a Zigbee network and you will be able to join/pair any Zigbee Router devices and Zigbee End Devices. With only a few limitations, most devices will join/pair directly regardless of brand and manufacturer.
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"Limitations
Note that ZHA only supports connecting a single dedicated Zigbee Coordinator radio adapter or module with a single Zigbee network and that the Zigbee Coordinator cannot already be connected or used by any other application. Any devices that are or have previously been connected to another Zigbee implementation will also need to first be reset to their factory default settings before they can be paired/joined to ZHA, please see each device manufacturer’s documentation.
Any Zigbee device can only be connected to a single Zigbee Coordinator (only one Zigbee gateway). This is a limitation in the current (as well as previous) Zigbee protocol specifications, governed by the CSA (Connectivity Standards Alliance). As such, it is a limit that applies to all Zigbee implementations, not just the ZHA implementation.
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