I suspect it is because wget doesn't follow iframes on recursive download. Looking at the page it would seem that all of the pdfs are referenced via iframes.
You can work around this as follows. First create a list of links to all pdfs:
seq 1 1111 | sed 's,^,http://www.allpianoscores.com/free_scores.php?id=,' | wget -qO- -i- | sed -n 's,.*iframe src="\(scre/.*\.pdf\)" width.*,http://www.allpianoscores.com/\1,p' > pdflist.txt
(Note: I worked the range out by looking at the first link
[free_scores.php?id=1] at the top of the "Bach , Johann Sebastian"
page and the last link
[free_scores.php?id=1111] at the bottom of the "Weber , Carl Maria von"
The above command take a while to complete. Once done you can fetch all the pdfs as follows:
wget -i pdflist.txt