What ranges/manufacturers of mechs are you mainly thinking of? And do you mean regular brush painting or airbrushing?
Most mechs I’ve painted to date have been Heavy Gear and old Jovian Chronicles ones, painted by brush. I prefer to assemble them (with meticulous pinning) before painting. Personally I can’t really say I’ve experienced difficulties painting them that could have been avoided by leaving them unassembled. It also makes it easier for me to figure out where to paint shading and highlighting. For the same reason I don’t do magnetised interchangeable weapons, which I know some other Heavy Gear modellers are heavily into.
But of course, a typical Heavy Gear or Jovian Chronicles mech is much the same as a multi-part GW Space Marine in regard to the parts it comprises. I wouldn’t paint Space Marines unassembled either, and I suspect the same goes for most people (though I know there are some that do it). So maybe the mechs you have in mind are something different to what I’m thinking of?
As for airbrushing, I have the impression that people who paint their figures wholly or partially this way like to assemble them only afterwards, sometimes going so far as to leave them on the sprue (if there is one) during painting. I’ve never practiced airbrushing myself though, and it seems to me like a fairly small minority of people paint their wargaming figures (as opposed to gunpla-style display models) this way. The ones that do, seem to mostly be masterclass-level painters, which is a category I’m not even interested in aspiring to.