Everyone for himself. I once had consecutive serial NR mags that went to St. Joe PD. I sold them to DC a while back. They weren't pristine, just run of the mill prewar mags, having seen duty for a while.
But I kept my set of consecutive RMs that didn't have consecutive serials. Does that answer the question about one collector?
A while back, like maybe 10 years, Jim Supica had a beautiful set of Triple Locks with consecutive serials. Any of you who keep the Old Town Station Dispatch can dig them out and see. He tried in vain to sell them as a pair, arguing they should stay together. No one came up with the money, and they were up for sale for a long time. I'm almost certain he ended up breaking them up.
As much lip service as we give the idea of them being collectible, the reality is few of us will spend a premium to do it.