There's probably limited room in the house, so some of them are sharing rooms. Especially since the servants couldn't go to their spirit forms when they first arrived, and they probably have to keep whatever sleeping arrangements they had when they first arrived to avoid suspicion. It's also totally reasonable for the last master of Chaldea and their shield to be sleeping in close proximity of each other, and they've likely had to do so numerous times throughout their various missions (especially the times when they didn't have the luxury of a house or beds).
That all being said, that scene was niiiice.