The idea of all countries having it in one location: If you have to transfer money to a different country for whatever reason you just have to put the gold from one part of the vault to the other. Money securely, physically and quickly transferred.

Also you have the physical money and don't rely on computers or similar. More secure (if you ignore Die Hard 3).

If countries start moving the gold away it's a) sign that they need the money elsewhere or b) they don't trust the current location anymore.