Using Multiple files may cut context related information. Wireshark keeps context information of the loaded packet data, so it can report context related problems (like a stream error) and keeps information about context related protocols (. where data is exchanged at the establishing phase and only referred to in later packets). As it keeps this information only for the loaded file, using one of the multiple file modes may cut these contexts. If the establishing phase is saved in one file and the things you would like to see is in another, you might not see some of the valuable context related information.