I know that the Mega has 4 hardware serial ports, so it can talk to 4 serial devices at the same time.
May I know what is the problem (technically) in Arduino Uno?
Only one instance of SoftwareSerial can be listening at a time, due to the fact that it uses pin change interrupts. So, when a pin changes state, an interrupt is triggered and the SoftwareSerial instance that is listening gets a method called. There is no way to ask each instance if it is interested in knowing that a pin has changed state, because the changes happen too fast to poll each instance to see if it cares (yes, that is my pin, so I care; no, that isn't my pin, so I don't care).