While I don't know how those bullets are made on the site you referenced, they could have been made in a 2 piece die. That is to say, the die body comes apart just like a bullet casting mold. That way the groves could be part of the bullet's profile. The only reason there are those barely visable lines on a bullet where the two sides of the casting mold come together is because that's where some of the air escapes: the blocks are actually about .0005" apart at that point. That line, by the way, has no effect on the bullet's capability. A 2 piece precision swaging die would have no need to let air escape where the pieces mate; therefore there would be no line. ( I mention this as 'having no line' is in the site's advertisement) The two pieces of the die would have to be held in allignment within a die holder... and would operate in the same manner as most other single stage Lead semi-wad cutter design dies.
Rolling(canneluring) multiple deep precision groves in a post forming operation is also possible, and more practical, I think. The fit of the die holder to the 2 halfs of that die under very high pressure is critical, and even then, getting 20:1 lead to flow into the multi groove area to form sharp edges is a difficult proposition. Too, placing deep groves in a lead bullet while maintaining controlled length and diameter is not an easy task in small shop (hobby) operations.
Hopfully a die maker or someone who makes these kinds of bullets will give us an answer.