TBF, they are running the game on PC with a CPU & GPU well beyond what's in the Series X (or PS5, for that matter). They also have a lot of system RAM, in addition to the GPU RAM. So those things are going to help a lot with data I/O, and their NVMe drive probably isn't too shabby, either.
But at least the PS5 has an extremely robust I/O subsystem built-in to keep up with those types of set-ups when it comes to data I/O. Series X and S don't, and would need a lot more their I/O subsystem offloaded to custom ASICs to do so. DirectStorage is a very scalable approach but that is dependent on the amount of hardware in a setup to help offload things or brute-force through overhead of power.