Leveling only one hero is the best choice in the long run. This is because when you have built and upgraded all your structures, you did all the researches, you can assign your hero for training troops and generating resources. You can switch between these tasks all the time.
And the most important reason, the level of your hero can determine weather you win or lose a battle.
Example: when you attack a city that has 70.000 might and you have 60.000 but you have a hero with high level, you will win the fight and have 20% or more of your troops alive.
Since the end-game is about battles and fighting, you will want to have a hero of very high level.
It doesn’t matter what hero you level, Gandalf, Radagast, Bilbo etc. They don’t have stats, it won’t matter what hero you use for fighting or researching. All will perform the same.
If you get items like “train with warriors”, archers, Gandalf, only use them on one hero, your main hero.