This is hardly a mystery. Since you say you've kept everything the same as in the single-ended case, that means you have the same single ended voltages with respect to ground at the outputs but with opposite polarity to each other. You have connected the cap deferentially. It has the same ac current as in the single ended case defined by gm but it sees now double the voltage across it - since it is differential. That is, the same current has to charge the same cap to 2x bigger voltage and of course the GBW drops by 2x.
From another point of view - think about the Miller effect. Voltage on one side of the cap goes up, on the other side same amount goes down and hence the differential output sees 2x bigger cap.
Think from a third point of view. Differential cap C is equivalent to two series connected caps of 2C. Now, connect the middle point of the series connected caps to ground and you get the equivalent situation of yours but with 2 single ended caps from each output to ground. This is like running your single-ended OTA with a load cap of 2C, and hence again the GBW is 2x lower.