The ColecoVision power supply is a multiple-voltage supply producing regulated +5V, -5V, and +12V output. To provide these multiple voltages it needs a more complex transformer which takes up a large portion of the AC adapter seen in this repair video:
As the regulation is done inside the power supply and not in the ColecoVision itself additional components including a regulator and a heat sink have to be included. Take note of how large the heat sink is in that video in addition to the passive components within the walls of the heat sink.
In comparison most consumer electronics have the regulation handled inside the appliance and they expect unregulated DC output from the power supply. In that case all the power supply has to contain is a small transformer, bridge rectifier, and a few passive components so it can be much smaller. This is why your run-of-the-mill game console AC adapter is much more compact.
Even if a switching power supply was used it would still be fairly large due to the multiple tap transformer and the several switching circuits needed for each power rail. For this case you'd have more components (inductors, additional diodes, etc.) than in the linear design; the PCB would be more complex, more costly, and possibly larger than a linear design.
So linear versus switching power supply design has nothing to do with this. It's a complex power supply that was implemented fairly efficiently, and the only unusual aspect is that they didn't have a cord going from the wall socket to the AC adapter, and instead hung the entire thing off the wall.