Are there any (or will there ever be) other multi-gainers like Pilgrimage, that this would apply to (I can't think of any off the top of my head)?
There are probably a bunch, but the one that first comes to mind is Stonemason. It works the same way, so you can, for example, buy Stonemason and gain two Knights of equal cost.
Good point but to my understanding, you choose the 2 cards from Stonemason 1-at-a-time, and the choice for the second card comes after the gain of the first card (even if the client automatically chooses the second one for you like when there are no other cards at the same price point). So like say you had Trader in hand. You would gain card A, choose whether to react Trader on card A, resolve that, then gain card B, then do Trader on B. Similar thing would happen with multi-gainers like Cache, Treasure Trove, etc.
But to my understanding the gains from Pilgrimage are instead all chosen, then the on-gain effects happen (one card at a time). Choose to gain card A, choose to gain B, choose to gain C, choose whether to react Trader on A, Trader B, Trader C. I guess this is what I meant by "multi-gainers", and was the main source of confusion for me regarding split piles.