First, unification could lead to lack of clarity in functioning as multiple regulators tend to have different objectives. This objective may be depositor protection for banks vs investor protection for capital markets vs consumer protection for other financial firms. Second, concentration of power could vitiate democratic policies.
Third, there may actually be diseconomies of scale since monopolistic organizations can be more rigid and bureaucratic than specialist agencies because they would typically be large and too broad based structures for effective regulation of the entire system. Fourth, there may be unintended consequence of public tending to assume that all creditors of supervised institutions will receive equal protection.