This is a tough one. Thethinker42 has a handful of pen names and has said she might have done things differently, knowing what she knows now. Maybe she'll weight in with more detail.
I have five pen names, and I honestly go back and forth about whether I would have done things differently. On the one hand, branding is important. On the other, maintaining and promoting multiple names is a pain in the ass. At the end of the day, I'm pretty sure I still would have gone with multiple names, but if my current hindsight had been foresight, I might have branded slightly differently.
As it stands right now:
L.A. Witt writes gay male romance.
Lauren Gallagher writes lesbian, bisexual, and heterosexual romance.
Lori A. Witt writes sci-fi fantasy with or without queer characters.
Ann Gallagher writes queer romance without sex.
Diana Fyre writes horror.
I added Ann Gallagher late in the game when I decided to write a gay Christian romance, and really couldn't brand it as L.A. Witt. The consensus among my readers was that that book needed to go under another name. And it's usually "L.A. Witt writing as Ann Gallagher," which my readers quickly learn means "L.A. Witt but without the smut." I added Diana Fyre because I'm starting to write horror that would definitely not be compatible with my romances.
If I had it to do over, I... hell, I don't know. I really don't. Sometimes I think I made things too complicated for myself, and sometimes I think the branding works out nicely. It got a little complicated when I started writing bisexual menage romances ("do I put these under L.A. or Lauren?"), and again when I started writing lesbian romances. L.A. Witt's audience can be outright hostile toward women in their romances, while Lauren's is somewhat less opinionated about male/male sex in theirs. So Lauren got the bisexual and lesbian romances. But then where do I put trans romances? And do I put a queer sci-fi with moderate amounts of sex/romance under L.A. or Lori?
I'm also 100% open about being the same person. I have one website, one twitter account, and my bios connect all my names. If you're trying to keep it a secret that your pen names are the same person, you're going to have to do a lot more work in terms of creating an online presence. You'll need to consistently put out books under each name in order to keep the name visible (because I'm open about my pen names, I can get away with releasing 10-15 books a year as L.A. Witt, but maybe 1 or 2 under any of the other names). You also have to decide who you'll be if you come to a convention. My badges basically all say "L.A. Witt" (which is my best known name) with my other names written underneath in smaller font. I've seen some authors with business cards that have one pen name on the front, one on the back. Obviously not an option if you're not open about being all one person.
So it's really up to the individual as far as how much work you want to (and can) do in terms of marketing, online presence, visibility, etc. It also depends on how different your various works are. Some people divide based on heat or kink. Some divide based on pairing (hetero, gay, etc). Or you can divide it based on subgenre, like contemporaries under one name and paranormal suspense under another (see also: Nora Roberts/JD Robb).
I'm sure that's not terribly helpful, but that's my experience with multiple pen names.