Bang Goes the Budget
As well as software compatibility, you also have to consider your budget; this is the main reason that all-in-one design suites are so darn popular! Desktop publishing software is not cheap, and understandably, you may feel the budgetary need to shirk using multiple software. Something like Adobe's Creative Suite is extraordinarily brilliant, but extraordinarily expensive. This is a whole family of software designed to work together rather than a single all-in-one program.
It stands to reason that you are going to weigh your options and seek out the best deal before purchasing your design software, but in the world of desktop publishing, it definitely pays to see what you are getting for your money. If you aren't sure about a particular program, then most places offer a free trial version so you can try it out.
It also may be that buying a whole family of software in a bundle (rather than one 'does it all' program), could turn out to be cheaper than buying a photo editor from one place, a graphics design package in another, web design in another, etc.
I genuinely see no need for any more than three software programs, unless you are a professional, called on to design in multiple media on a frequent basis. We could push this to more if you're a home business with craft tendencies too; this should be enough to accomplish most design tasks, stay within budget, and stop confusion between different file types.
Although I'm an advocate of the all-in-one suite as it makes desktop publishing less scary to the creative but uninitiated, of course there are limitations. Much like clothing labeled "one size fits all", that's not actually true. It does lots of things reasonably well, but is bound to be lacking an ideal fit.