For shallower models CPUs aren't overshadowed by GPUs as much - but beyond a certain # of parameters the CPU loses out as GPUs do vector math highly efficiently.
"The team also tested their approach on a collection of 30 challenges in DeepMind Lab using a more powerful 36-core 4-GPU machine. The resulting AI significantly outperformed the original AI that DeepMind used to tackle the challenge, which was trained on a large computing cluster."
Well, they presumably tested the same CPU with 4 GPUs (2080 Ti I think) - maybe they wanted to compare.
My assumption would that either the GPU or the CPU is the bottleneck, most likely the GPU. Why not spend money for more GPU and fewer cores?