No, there is no problem with that. Often, different sites on the network will have special games and tournaments of their own, in addition to the shared ones. So, there is a good logical reason to have an account at more than one.
The only thing to watch is that you do not play more than one account on the same network at the same time. That is usually not permitted, in order to avoid any possibility of cheating by (for example) occupying two seats at the same table.