There's a limit to density though - the materials don't exist to make small worlds that dense. It's conceivable that you could get a mercury-like world that's had even more of its silicate mantle blown away and have a density of more like 7000 or 8000 kg/m3, but they'd be rare and uninhabitable.
Traveller's problem is that it creates too many planets that are just impossible. To get the 'cannonball worlds' at the frequency that the world generation implies would mean that physics basically makes no sense there whatsoever. To explain that means that you'd have to invoke a lot of "the Ancients did it" (which I hate) or say that the universe is more full of exceptions to physics than things that actually work 'by the rules' - neither of which are good options.
Traveller's problem is that it creates too many planets that are just impossible. To get the 'cannonball worlds' at the frequency that the world generation implies would mean that physics basically makes no sense there whatsoever. To explain that means that you'd have to invoke a lot of "the Ancients did it" (which I hate) or say that the universe is more full of exceptions to physics than things that actually work 'by the rules' - neither of which are good options.