It's considered good form for each class to have its own header/implementation pair.
The most compelling reason (for me) is that the files are named after the class they contain. This makes it easy to find the correct file for a declaration in the code. If a file has more than one type in it, it becomes harder to name, and therefore harder to maintain.
However, sometimes it's not so clear cut. A "main" class might have some other supporting class that's definitely part of its interface (in the Herb Sutter sense of interface), but doesn't rightly belong as a nested type. This should be rare, but such a case might justify having more than one class per file.
If you've gone to the trouble of abstracting out concepts (such as in the example you give), why not go the extra little bit and put them in their own files? You will thank yourself for it down the line!