When do we usually map all partitions to the same filegroup?
Partitioning a table with all of the partitions on the same filegroup gives you the following benefits:


Partition elimination in queries
Ability to partition switch within the filegroup
Rowgroups cannot be split across partitions for CCIs which can lead to better rowgroup elimination in queries
Incremental statistics as of SQL Server 2014
Other maintenance operations can be done at the partition level such as rebuilds
Different behavior for parallel scans which can be helpful in some cases.


These benefits are also present when putting partitions on different filegroups, except when noted otherwise.

One reason to put partitions on different filegroups is when you want to put older data on a filegroup that's mapped to a slower tier of storage.