If they were all on their own plug, if one item trips the GFCI your other items would not turn off, which maybe be an advantage, although it could also be a problem. For example, if your return pump fails and trips it's GFCI, all the other items would run, including your skimmer which may end up overflowing from the higher water level in your sump. Then again, this could happen regardless of your GFCI setup.