It's for two reasons, which apply to all peptide/protein based drugs.
One is pharmacokinetics, the charachteristics of how drug "moves" through your system.
The same dose, injected subq, at a lower volume, raises blood levels at a faster rate than a larger volume.
This rapid increase in blood levels can induce side effects more easily than a gradual rise.
.5ml is what Novo chose for all doses of Tirz, up to 15mg,
For Semaglutide, Eli uses .5ml for all doses up to 1mg. For 1.7 mg and 2.4 mg they use .75ml, to slow the rate it enters the bloodstream.
The second reason is that aggregates, the "clumping" of peptides and other "junk" like fragments, form more quickly the more concentrated the solution. These aggregates waste peptide since they won't work as intended, and are a primary cause of immune reactions, which can induce a long list of undesired effects, from site reactions (swelling, pain, redness), to becoming "immune" to the drug, reducing its effectiveness.