What matter are not the behavior of the dipole moments $\vec{\mu}$ and $\vec{d}$ themselves, but the Hamiltonian terms $-\vec{\mu}\cdot\vec{B}$ and $-\vec{d}\cdot\vec{E}$,* showing the interactions of the moments with external fields.
Under parity, the electric field (being a polar vector) changes sign, but under time reversal, it does not. (This can be understood by visualizing inverting the locations of all charges; this reverses the vector field $\vec{E}$ defined explicitly by Coulomb's Law. However, inverting the direction of time does not reverse the explicit expression for $\vec{E}$, in which time does not appear.) In contrast, under P, the magnetic field does not reverse sign, because the explicit formula for $\vec{B}$ is the Biot-Savart Law, which contains a cross product. (Under $\vec{V}\rightarrow-\vec{V}$ and $\vec{W}\rightarrow-\vec{W}$, we hve $\vec{V}\times\vec{W}\rightarrow\vec{V}\times\vec{W}$, with the two minus signs canceling. Thus the cross product of two vectors is a pseudovector or axial vector.) However, the time reversal T inverts the directions of all currents while leaving the spatial configuration unchanged, which naturally reverses $\vec{B}$.
So the different transformation properties of $\vec{E}$ and $\vec{B}$ mean that the actual Hamiltonian/Lagrangian terms representing the dipole interactions have different discrete symmetries. For the magnetic dipole, $\vec{B}$ changes sign under exactly the same combinations of C, P, and T as the spin vector (remembering that $\vec{\mu}=\mu\vec{\sigma}$ and $\vec{d}=d\vec{\sigma}$), so the combination $-\vec{\mu}\cdot\vec{B}$ is invariant under all the discrete symmetries. However, the discrete symmetries of $\vec{\sigma}$ and $\vec{E}$ do not match up. They are both odd under C; however, $\vec{\sigma}$ is P-even and T-odd, while $\vec{E}$ is P-odd and T-even, making $-\vec{d}\cdot\vec{E}$ odd under P, T, CP, and CT.
*Actually, these are the nonrelativistic limits of the general spin interactions with
$\mu\bar{\psi}\sigma^{\mu\nu}\psi F_{\mu\nu}$ and $d\frac{1}{2}\epsilon^{\mu\nu\rho\sigma}\bar{\psi}\sigma_{\mu\nu}\psi\tilde{F}_{\rho\sigma}$. In these forms, it is relatively straightforward to see that the electric dipole moment term must be odd under P and T, because of the presence of the Levi-Civita pseudo-tensor $\epsilon^{\mu\nu\rho\sigma}$.