The H2R has an inline four, revs to 14,000rpm, and weighs 500lbs, making it a bit of a different beast altogether.
More gears means more time spent in the power band on the run from 0-400kph, which means more time saved. If you can reliably cram more gears into the same space you'd be wasting potential by not doing so.
We're talking about a car that seats two comfortably, has a/c, cupholders, and a stereo, and is capable of doing 0-400-0 in less than 30 seconds. I mean maybe they could have done it with 8, maybe they could go even faster with 10, but breaking three records at once makes me think the engineers had at least some idea what they were doing, and choosing a 9 speed wasn't done on a whim.