You may want to do that (mainly to reduce rebuild times), but this is not required, and doesn’t really have anything to do with running multiple sites.
To run three sites, you can either bootstrap them separately (which is rather easy, but triples resource requirements), or use these instructions for setting up multisite:
I’m running a setup like this (i.e. multisite, but without separating data and web containers or any other fanciness), and this works fine, but setup is indeed a bit tricky.