I found it more fun to just level one job through the MSQ, then go back and level the other jobs through side quests, FATE grinds for zones completion (not the same job I just leveled/is at top level), duties, etc. This was more efficient for me. I tried leveling multiple jobs through an MSQ and in my opinion, was slower to level really. I would think you would want at least one job to be able to participate in high end duties, raids, etc. Leveling more than one job at a time without that ability will make things more stale to play.

Just my $.02.