The problem is when you want to run it through an amp with distortion.
Wah pedals, volume, gain and (additional) distortion goes usually before pre-gain, that is, you plug into them, and then plug into the amp.
Reverb, echo, delay, phaser and such effects, on the other hand, are usually put in between pre- and post-gain (with tube amps, you have separate tubes for pre-gain, and other, bigger tubes for post-gain).
A multi effect board combines the two kind of effects, so you have to plug them in before pre-gain. You can't then use them effectively with the amp.
But they're really great with a simple transistor amp, where you get all gain from the multi effect board.
Then again, I know that Dark Tranquillity uses Behringer V-amp mulit effects and tube amps. But I think they only use the reverb and delay effects from the mulit effect, and use stomp boxes for wah and such.