I'm playing through at the moment, and as far as bugs go at least, one I see coming up is in the level Electro Magnet. During it, when you jump from being pulled with the magnet to the level's end, if you position yourself to be pulled on the edge and leave the beam with the magnet, landing on the top, the magnet will still want to finish its pull to the electro magnet, making it unable to be taken more than two tiles towards the door. In this particular level it isn't an issue, but were it to be used as a movement tool, it would be shut down because of it not checking if it should finish that pull. Setting the magnet down also does not stop its (unintended) tether.
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I'm unsure on things like Unity, but at least with GMS2, you are able to simply draw images and the like on top of other images, so you can 'paper doll' the separate animations together in the combination you want. That said, if the hair animation is specific to the tool, I'm not 100% sure on the benefits one would get from them being separate. You'd still need to swap out the layer the hair and such is on if you change hair, regardless of if it is on the same piece as the tool or not. Which theoretically means the two ways would be functionally the same. But that is also for people that don't merge them prior to adding them to their game.
Not to say there aren't cases where people would prefer it separated from the tool, but from an optimization perspective, having them together would lower how many draw commands you are calling, as well as lowering the usage of your texture sheets. In that sense, it comes down to if merging them would result in less frames and assets overall or not. Since if it doesn't result in less, then it could still be better to go with them separated.