My way of thinking is:
A. I can only wear one headphone at once, and more then likely I will have a "favorite" anyway. Might as well start of with your "favorite" and make it the most expensive, then if needed by a "side" headphone to fix what your favorite does wrong. But I'm a big fan of getting a quality one first priority.
B. It would get annoying constantly switching between headphones for different songs. I tend to listen to my entire music collection at shuffle, so one track can be Pop and the next could be Dubstep then it could become Jazz. You get the point. For situations like that, one great headphones that is able reproduce all genre's to a enjoyable listening experience > Three headphones that specialize in something. I could not shuffle my entire collection with a "Specialty" headphone and that is always a negative for me.
C. I also have the way of thinking that nothing really NEEDS to be perfect. Yes all of us here want it to be, but honestly I don't think it can ever get that (it could get close though) and the time, effort and money needed to get there would probably be very hard to obtain. I am able to just accept the fact that not only are my all-around headphones great as they are, I don't feel the need to "Upgrade" because there isn't a genre they do that I can't sit back, close my eyes and just enjoy.
For a example I had the Pro 900's. Yes they were amazing for Dubstep and most Hip-Hop but I stopped missing them past the first week I returned them. Even if my HE-400's don't do as good of a job as my Pro 900's for those two specific genre's I am still able to enjoy and fall in love with my music and at the end, that is all that matters to me. If I had a chose between keeping my Pro 900's and getting some other $200-300 pair of headphones for the rest of genre's I would still go with the HE-400's just because I love having the versatility they provide in one single package.
That's just my view though, some people love to collect headphones, some love to hear and experience new things (And I do too, to a certain point) but each person has there own preference at the end.