Is it possible to have multiple controls in one assembly?
YES, it is.
Is there any reason that I should not do this?
You should have all the related controls in a single project to start with.
Your initial approach to have a separate project for each control is not easy to manage and maintain. Usually all the related GUI controls are placed in a single project. That makes them easily accessible via one reference and also one do not ends up with lots of dlls for your application.