The main concern is what your exposure is to a single point of failure - specifically, the firm you have your money with. Is it government insured (it probably isn't, most investments aren't insured)? Is the insurance at risk, if there is any? At the same time, how much of your total life savings is "at risk" (i.e. playing around in some non-secured market)?
In the world we live in, financial systems are tightly bound together, and risk is not always well diversified but is often magnified - see the 2008 worldwide financial crisis as an example of such a "black swan" event. Similarly, whole investment firms and brokerages have gone bust all at once. Again in 2008, if it had not been for massive government bailouts it is not clear what investment firm would not have gone bust - but still, many smaller firms did still collapse, and many investors lost a lot of money.
The issue then is not some question like "will your firm still be here next year", but rather "can you estimate the risk that your firm will still be functioning well 25+ years from now, when you actually want to make use of that money?" The correct answer is that you cannot, and no one can, because no one can validly estimate the risk of some rare event knocking your investment firm over as though it were made of straw. Or more likely, that corruption will take hold and the managers of the firm will use their position to ensure themselves millions in profits while putting investors like you at risk of losing everything while technically maybe sorta following the law. And no one can say if that will happen in your lifetime.
Thus the true goal of diversification of risk is that if some bad thing happens, and given the length of time we are talking it almost certainly will to some serious degree, you do not want to give up everything you've gained - or worse, everything you saved. While diversifying the individual investments well is important, it doesn't protect you from problems with the firm itself. At large amounts of money I don't know of any example of anyone keeping all their money with one firm - it is the norm to have pools of money spread across multiple minimally-related firms. When you are just starting out it is fine to stick with one - but as the money grows and comes to represent months and years of your hard-earned savings, why would you trust one single group financiers to have your best interests at heart?
As a bonus, working with multiple firms can help you see how much firms vary, and will make it easy for you to switch money around if you experience any funny business from one of them. It can also expose you to a variety of different methods of steering you to some investments over others. If they encourage different strategies, it is easy for you to see how opinions differ. If they all push the same strategy - maybe worry about why :)
