There are times when it works and times when it doesn't. One of the food + dry goods member clubs I used to shop on the same visit the demo staff (paid by club), the road shows currently on site (possibly paid by club), the wireless kiosk (the wireless carrier company). None of these shops reimbursed anything and they each had different proofs of visit. Technically they were in the same location.
Schedulers have suggested when doing one type of shop in Walmart, performing others on site while I'm there. At one time I went into Walmart with 3 bonus shops for the same MSC--photo, phone and McD--and did a find the demo for another MSC. If I had had a competitor grocery shop I would have done it while I was there as well.
The ones I would NOT double dip would be, for example, a bank where used one banker interaction for shops offered by two different companies or the fatherly pizza, where I suspect I could arrange to have multiple MSCs getting unique photos of the same pie. So I guess my standard would be that no two companies are reimbursing me for the same purchase and ultimately the client for each is different.