The larger $\ce{Cs+}$ ion may interact with more water molecules at once than $\ce{Li+}$, but each interaction is weaker. The prevailing interaction between water molecules and ions are ion-permanent dipole interactions (or just ion-dipole), which are proportional in strength to the amount of charge on the ion and the partial charge on the dipole, and inversely proportional to some power of the distance between the centres of the charges (via the shell theorem). Hence, the closer the water molecules get to the ion, the stronger the interaction. Since $\ce{Cs+}$ is very large, the charge centres don't come so close, and the interaction is relatively weak. $\ce{Li+}$ is much smaller, so there is strong solvation. For sufficiently small, highly charged ions, the first solvation shell comes so close to the ion that it allows covalent bonding to take place.
You may find this succinctly described as $\ce{Cs+}$ having a lower charge density than $\ce{Li+}$, which is about the same thing.