1) No multi-effect unit has EVERYTHING
2) Both multi-effect units and separate pedals are used by Pros and home users ... Pros and old players plays higher quality and more expensive gear, and beginners usualy get cheaper stuff to start with.
i.e. As some multi-effect units (cough-ZOOM-cough) su*ks , also there are tons of individual pedals that are pure crap.
3) Multi-effect units aren't always cheaper than separate pedals .
4) The reason that most of them are cheaper or come in more economic packages is not necessarily because of less sonic quality , but it's also due to less packaging (do you realy think you need separate steel chasis for 30+ pedals ?) , and the fact that digital technology is cheaper & more efficient for a given job.
5) Separate pedals are easier to set up for the desired tone because there are less parameters to tweak , while some multi-effect units requires a nuclear physics Phd to program .
6) Multi-effect units have the advantage of changing more effects by pressing on one pedal , including the parameters that must be changed by hand in separate pedals.
That's it , couldn't think of more !