If we buy the story that designers know best how to make perfect audio equipment, why is it few among us would purchase an all-in-one system?
Could it be the all-in-one systems we've heard aren't that great? Or weren't high-end enough?
Perhaps the target audience for all-in-one systems isn't for us audiophiles?
Or maybe, each of us has a different set of criteria we like to focus on. Mine's clearly imaging and 3D acoustics. Perhaps yours is a smidge of that with dynamics as the key. Or tonal balance.
I think at the proverbial EOD, we tend to mix and match because it's really the only way we can focus in on what it is we're hoping to get out of our music systems.
I know that's true for me.