I think we might have a vocabulary problem that is confusing things.
An AIO is also known as a cleaner wax. Examples of AIO's are HD Speed, McKee's 37 360, or Menzerna 3-in-one. These products have a mild polish mixed in with a sealant or wax and allow you to polish and protect the car in one step, hence the designator of "all in one". The abrasives in these products vary by aggressiveness, but all are on the mild side. Also the wax/selants in them also vary in durability. If you are going to apply a coating, you do NOT want to use one of these types of products because of the wax/sealant they leave behind.
If you're talking about Menzerna 2500, that isn't an AIO, it's a medium grade or swirl remover polish. Some people may refer to it as a one-step polish because you may be able to use it to correct and produce an LSP ready shine in one step on certain paints. One-step doesn't equal AIO. Using 2500 to do the correction, and then following up with a finishing polish like 3500, 3800, or SRC Finishing Polish would be very normal.
With that out of the way, I think you're asking if you need to do a wipe down between your medium grade polish and finishing polish. My answer would be, it depends. Technically, you don't. The important wipe down is at the end of all the polishing and before you apply the coating in order to remove all the oils from the polishes. However, when first working on the car, it might be a good idea on a couple spots just to make sure you're getting the desired level of correction from the 2500 without all the polishing oils obscuring your view of the actual paint condition.