As @NathanCu already said, I prefer to keep the radios separate as I can replace them as needed with minimal effort. I have routinely upgraded both my zwave and zigbee sticks to access the latest technology or simply to resolve issues (ie: I was having big issues with the TI Zigbee chip and resolved them all moving to the SI chip… whether it was a chip or firmware issue is unknown but it solved all my issues). I have also recently added a 3rd dongle dedicated to Thread / Matter.
Also, my HA instance runs on a Lenovo Tiny P360 inside a network rack metal cabinet so with extension cables I can place the dongles on top of the cabinet for better connectivity.
While I can see the appeal of an “all in one” solution, I cringe at how this would limit my ability to troubleshoot, upgrade, and expand my system.
Edit: For the same reason, avoid those dongles that do zwave and zigbee. For other reasons, I also avoid any ethernet to xyz radio but that is a whole other topic.