It works best when you graft the tree yourself, this way you know where all your graft unions are and you don't prune out a particular variety. Like Elaine said the more vigorous varieties will be dominant so pruning is very important. Places like burgess, direct gardening, and other low cost nurseries sell crap trees that are often not even grafted but seedling plants so beware of purchasing mulitgrafted plants from these folks. some things to keep in mind when buying or grafting your trees is only plants in the same genus can be grafted to each other. Apples and plums won't graft to each other but you can do things like pecans and hickories on 1 tree because they are both in the Carya genus. Stone fruits are the most common because "most" all prunus members are compatible especial on a rootstock like saint Julian. You can grow peaches, plums, nectarines, apricots, almonds, pluerries, pluots, apriums, and other interspecific prunus hybrids all on the same tree and this is how the Mr. Aken has success in doing a 40 on 1 tree.
Any woody plant can be grafted including things like roses. So anyone that had the wish to do so could make a 40 in 1 rose bush as well or any other plant with multiple varieties in the same genus.