Binding the cogs together in groups, particularly the largest ones, spreads out the load on the freehub body splines. This is not an issue for steel freehub bodies and not critical on Ti bodies but is important on some Al bodies as the splines can be notched by individual cogs under high pedaling pressure.
One of the reasons Shimano increased the spline height on the first generation 10-speed Dura Ace hubs is that they used an Al body and wanted to provide a larger bearing surface for the cogs so the splines wouldn't be damaged.
Short answer: If you have a steel freehub body, use what ever loose cogs you want. If it's Al, keep them bolted together.