In the vast majority of games, Z is down, or in rarer cases like space sims, there’s no gravity at all. Games which have multi-directional gravity are very much an exception rather than a rule.
Single axis gravity is a fairly solid optimisation, and I expect most game engines do it - certainly the big ones do. There is however nothing stopping you from downloading the source and implementing your own vector based gravity system. In Mwadelin’s case, it looks like he’s updated gravity to be a vector and has the ability to update it on the fly.