In my case, I don't bother with a common reference piped around all my test gear. I usually rely on the various OCXO references in my test gear. I do check and adjust them every year or two.
However, I do sometimes connect the reference from one (vector) sig gen to another if I want to vary the phase of one output compared to the other.
There is also a risk that an external reference can add spurious terms or it can add jitter and degrade the noise performance. It can also be quite a complicated thing to set up because you would want the reference to distribute reliably even when some bits of test gear are powered off. I just don't see much advantage to having a common frequency reference.
However, some people will run a GPSDO 24/7 and pipe it around their workroom using a suitable distribution amplifier. I like to turn everything off when I finish in my workroom so this isn't a realistic option for me anyway.
