No, some of your parts may arrive earlier than others. Other than that, there's no reason why you can't order parts from various vendors.
Just compare prices on PCpartpicker. You may be able to group some of the parts together. I noticed that the motherboard, for example, can be bought on Newegg for pretty much the same price as on Super Biiz. Newegg was just a couple of dollars more expensive. Personally, I'd rather spend that extra $2 just to keep the amount of shipments to a minimum.
Anyways, that's my 2 cents worth. I hope this helps; good luck!