One possiblity is the formation of type II heterstructure due to size confinement. If the electrodeposited CIGS particles are quantum confined, the conduction band edge is pushed up. CBD usually produces larger sized particles and so the CB edge of CdS wont move as much as that of CIGS. This can be verified by time resolved luminescence of the hetrojunction. Actual sizes of the deposited particles can give some insight

The bands will align depending on the Fermi-Levels of each semiconductor which in turn is coupled to the doping and n-/p/-character.

BUT: You have to consider that you compare a single absorber with a dual absorber system and while CIGS might not even have the suitable valence band position for the oxidation reaction, the much bigger band gap of CdS straddles the reduction and oxidation potentials of both water splitting half reactions.

Additionally: To rule out a catalytic effect you can add a small amount a hole scavenger (H2O2) to the electrolyte to speed up the oxidation reaction. If both your systems perform similarly with the scavenger, it was a catalytic effect.