Multi FX processors are better for demos, and often for live because you can save settings. Live, you have to turn the knobs on EACH stompbox to get it the way you want, an dcan be a hassle.
However, for creativity reasons, stompboxes are usually better becuase you have much more control over the signal chain, and what order the effects go in.
I have a POD 2.0, and it's the best damn thing for demoing. You can qu8ickyl dial up a sound, an deffect, a particular type of distortion, and record without need to mic anything. Simple. But not creative, because you have no internal control for the signal path. It is, indeed, a pod that cannot be opened to slit a signal or reverb before distortion, or things like that.
If you're looking to make strange, never-heard before sounds, stompboxes for felxibility. If you're looking to do live covers and need a wide variety of effects low cost, and without much screwing around, use Multi-FX pedals.
Or both.
Or build your own stompboxes.