Honestly, I think most sets start with a US 4 as the smallest size and come with 24" or 32" cables to start with (although you can purchase 16" cables for many of them). I haven't seen any sets that include tips any smaller than a US 4, but I guess there must be a few out there since you found one.
As for the cables, I don't think very many people use a cable smaller than a 16" very often .... I've never even seen one (either fixed or interchangeable) in stores. Although I've seen a couple available online. The fact that not many people would ever use smaller than a 16" is probably why they aren't included in interchangeable sets (sets are meant to be versatile for the average knitter).
Another reason could be that they aren't possible to make .... I know that with the KnitPicks sets you can't get cables any smaller than a 24" because it won't work with the needle tips. Generally the tips on most interchangeable needles are a little longer, and if you try to put them on a cable that short you won't be able to actually work your knitting. I think there might be a couple of sets out there that are able to go down to a 16" cable, but I've never seen interchangeable cables any shorter than that.
Maybe someone else will be able to suggest a set that will work for you. If not, you could go with a traditional interchangeable set and then supplement with fixed circulars in the smaller sizes. If you're ONLY wanting the smaller needles/shorter cables, then maybe an interchangeable set isn't the right choice for you.