To reduce the level of misguided answers make s
We (and some other game companies) did try it via making one uber-.CPP that #includeed all others; it's a known technique. In our case, it didn't seem to affect runtime much, but the compile-time disadvantages you mention turned out to be utterly crippling. With a half an hour compile after every single change, it becomes impossible to iterate effectively. (And this is with the app divvied up into over a dozen different libraries.)
We tried making a different configuration such that we would have multiple .objs while debugging and then have the uber-CPP only in release-opt builds, but then ran into the problem of the compiler simply running out of memory. For a sufficiently large app, the tools simply are not up to compiling a multimillion line cpp file.
We tried LTCG as well, and that provided a small but nice runtime boost, in the rare cases where it didn't simply crash during the link phase.