Sometimes purity, clarity and simplicity are the order of the day. I don't mean simplicity within the plot itself. Oh no, you can do writhing and tangled webs of conspiracies just fine. I mean simplicity of focus. I think that's why games like the World of Darkness discourage mixing the game lines because when you have a changeling, a vampire, a werewolf and a mage in the same team you don't really get to spend much quality time exploring any of those conditions. You don't get to play up the X-Files' conspiratorial paranoia of Mage without undercutting the savagery, territoriality and intimidation that saturates a werewolf's life nor do you get to play with the twisted mythis fantasies of the changeling or the isolation and pull toward the monstrous of the vampire.
Or rather, you can play with all of them, you're forced to play with all of them, but you haven't the time and dedication to do any of them justice.
While the mythic madness and labrynthine horrors of a changeling assisting their vampiric friend through their requiem before dashing off into the hedge to hide from their enemies can attain that purity (see, two themes and two indicated moods), one has to look at where those two genres intersect and then focus on that intersection. In this case, myths match with both (though vampires deal with the kernal of truth in an ocean of falseness aspect of a myth while changelings deal with the fatalistic side of it). Humanity is a vampire's grip on reason (as opposed to madness) and Clarity a changeling's grip on reality (versus madness). Both deal in labrynthes, whether the physical version of a changeling's hedge, the conspiracies infusing the mortal realm of vampire, or the winding nature of courts of monsters that can be found in both.
But where do werewolves intersect with changelings? Where do mages? There are answers to this, naturally, though some will find easier and more intriguing connections than others. How do you find the points of intersection between three such creatures? What if the main intersections between two outright clash with the intersections between another two?
Thus most world of games support having all of the players in one domain and then allowing glimpses and glances of these other creatures as seen through the vampires' lens. It's easier. It's simpler. And it requires less balance.
And yes, while this is a very specific example to the World of Darkness, it is true of all things. If you try to include themes of personal damnation, glories of power, comforts of home, adrenaline-packed action, PCs as spiders in their webs of political intrigue and the heroic struggle against the evil odds ... you're going to have a very confused game. Even several themes that are related can be problematic because you only have so much time to do them justice. I mean, yes, of course there will be dozens of themes popping up over the course of the adventure but there spring up naturally and spontaneously and aren't as much trouble as when the Storyteller tries desperately to hold several complementary yet distinct (or even a few clashing) themes in their heads.
So think about what you really want and go with that.