When problem-solving, jumping around different tasks enables us to us to see things from different perspectives and try different approaches.
The step-by-step approach may not always be the best one. We can end up focusing so much on the details and becoming blind to bigger picture opportunities.
Jumping around between tasks can help us maintain the big picture viewpoint. It can also help us best manage our resources. The risk is, in the early stages, things can appear chaotic and few single tasks are completed.