I used to be of the mindset that it's better to stick to one county at a time with your mail. My only reason was the for sake of my own sanity and organization (rather than having to deal with different counties, systems, market values, etc). It just felt easier to keep each direct mail "push" isolated to a single county so I could reduce the number of variables to think about.
BUT, I think if you've got your intake system organized well enough so that each response has a clear indicator of which county it's coming from (this can be done by including a unique, county and state-based reference number at the top of each mail piece, so you'll always know where it's coming from), this can help clear up a lot of the confusion.
I know a lot of people who hit multiple counties and states at a time and they seem to do just fine with it. I'm not sure if I would've handled it well on my first few attempts, but maybe that's just me.