For still images you can indeed put everything in one object. A few advantages of using different objects could be;
- Animating objects in different ways in scene mode (wheels of a car might want to turn, but not the whole car)
- Being able to hide objects in scene mode, if everything is one big object you can't hide parts in scene mode, only the whole object at once.
- Turning shadows on/off for different objects, in any anim8or before the beta versions you can control if an object in scene mode casts a shadow or not, if everything is one big object shadows can only be turned on/off for the whole object.
There are probably a few more points to add.. but in a lot of situations it is easy to put most of your models into one object and importing that to scene mode.
Another advantage of doing that , besides not having to add all the objects manually, is that when you resize the object, everything scales accordingly. It is a pain to scale all different objects in scene mode accurately.