You aren't "diversifying" anything.
To be clear, I understand how 401k's work fundamentally. I'm aware that multiple 401k's likely all hold shares of Apple, Exxon, Boeing, Johnson & Johnson, Coca Cola, etc. in the funds within the plan, I pay an expense / operating rate (as low as possible) and I add as much as I can to it as fast as I can.
I'm more curious if there's any risk of any of the companies holding my 401k of going under? If we have another 2008 and the bottom falls out, could I potentially lose my 401k holdings if one of the companies that holds my 401k goes out of business? Or would my holdings be transferred to another institution?
If I have all my 401k money in one place and that company goes under, then
A 401(k) plan is actually formed as a trust, a completely separate legal entity from the business itself. The company you work for is sponsoring the plan and they can add money to it, but they're otherwise unattached to the trust or it's associated bank or brokerage accounts. You, the employee, are listed as a beneficiary of the trust, which means the money you put in has to be managed properly and legally on your behalf. Generally, for larger companies the trustee will be a big bank like Vanguard or Fidelity, or an insurance company like Principal. Your employer doesn't hold or touch your money, the trustee does.
There's no law saying the trustee has to be a bank or insurance company, of course, so some companies will form their own 401(k) trust with them as trustee. For example, my itty bitty consulting business (just me) has me as the trustee, because that way I can decide where to open bank and brokerage accounts and decide exactly how much to contribute, etc, etc.
Basically, if your employer uses a third party to service their 401(k) trust and/or you trust your employer to not do something astoundingly illegal, then there should be no problem rolling previous accounts into your current 401(k). Assuming the fees are competitive with an IRA you can get somewhere else, of course.