These aren't just simple RGB LEDs. Each individual unit contains and integrated microcontroller, which reads digital serial signals on one or two shared wires. Each microcontroller sets LED color and brightness by turning each channel on and off at specific intervals, at least hundreds of times a second.
And the limiting factor on the size of each LED unit isn't the size of the parts, it's how small it can be soldered.
@LexYeen already on top of it :D