I can only think of two times that I didn't mash all grains together.
The first was a German ale where I needed to use a bit more roasted malt than I wanted in order to achieve a certain color. In this case I held back on adding the roasted malt until Vorlauf.
The second was acidulated malt for a hefeweizen -- In order to maintain a higher mash pH for a ferulic acid rest I held back on the acid malt until the next temp infusion.
In all other cases, stouts, porters, etc., I tend to add all grains to the mash.