I would have agreed with you several years ago - but Google has vastly improved this across their services over the last two years. There are still holes, but I now can switch accounts in a single drop-down on most Google sites I use.
I still have problems with Google Wallet (aka Checkout) and Analytics seems to have it's own multi-account sign-in system.
One important thing to note about Wallet is that it will ask you to reauthenticate every 20 minutes. If that's not the problem, feel free to send me an email about it, and I'll do what I can to get it fixed (jrockway AT google.com).
I still have problems with Google Wallet (aka Checkout) and Analytics seems to have it's own multi-account sign-in system.