You can connect multiple sensors on a single zone; however, good system design should dictate the devices that are grouped.
It is not recommended that more than a single powered device (GB, PIR, etc.) be connected on a zone if at all possible. Doing so not only makes it harder to isolate potential false alarm issues but also reduces the value of information provided in the event of an alarm. Similarly, different types of protection should not be intermingled, such as a PIR and a door contact or a glass break.
Contacted points or perimeter devices can be combined as needed. Windows are commonly grouped by room, doors can be grouped but if so, should be in close proximity to each other.
Fire devices should only be combined with other fire devices. Critical condition monitoring devices can be combined, provided they serve the same purpose, but different monitoring functions, such as temperature detection and flood detection should not be combined.
While the purchase of a commercial grade alarm system with each device and contact is on it's own individual zone is not necessary, some forethought in system planning will yield better end results.