Yes, but if one process is writing its history to ~/.bash_history_1, and some time later you spawn a new shell whose history file points to ~/.bash_history_2, you won't have the commands from the previous session available, right?

Correct, but most of the time I use the same set of panes, created at startup, so the commands are in the history where I need them. And when they are not I grep in ~/.bash_history_*.