It's a trade-off between efficiency and adaptability.
Concentrating a building type in a single state gives you a throughput bonus as that industry gets bigger. (+1% throughput bonus per level of the same building, upto +50% with full tech unlocks).
On the other hand, spreading out industries across many states makes your country able to more easily adapt to problems.
When a state has infrastructure issues, it gets low market access, which limits it to buying and selling goods locally. If you have each industry concentrated in a specific state, that can absolutely cripple you, where as a balanced spread of factory types won't suffer nearly as badly.
Also, because you can only select one production method for factories of the same type in a single state, for example having all of your steel factories in a single state, will mean that you have to switch all of them to a new production method at the same time, this can be very destabilizing for a country's market. If you have spread them across several states, you can switch the production methods one state at a time, preventing it for causing severe shortages/surpluses on your market.
Finally, if you reach the point of running out peasants in a state, having a diverse spread of buildings in each state can be really helpful for auto balancing your economy. Since people will try to work in the industries that are the most productive, they will leave buildings with low productivity that are over producing, to move into buildings that are producing goods that are in short supply.
Ultimately, it's a matter of deciding how much you value maximising productivity, vs how much you value having a resilient and adaptive economy.