Well, not exactly. If you are booked directly with the property on a revenue rate; your play can allow for the room rate to be reduced and/or comp'ed at the end of the stay. And, if your play was really strong, you can then get additional charges (if they were charged to the room folio) removed from your folio.

There is nothing wrong with establishing at two properties (i.e. per your split stay @ Wynn and Palazzo). Though, you'll probably want to spread your gambling out; as you wouldn't want to burn through your bankroll before you hit the second property.

Personally, I just don't like packing and re-checking into hotels for trips under 6-7 days, so I'd probably just stick with one property, but that's more of a personal preference issue. And, of course, if it involved getting comp'ed instead of paying (i.e. splitting 3 days comp at two properties) then I would always split; since FREE is better than $$$ in all cases (and worth the inconvenience of switching properties).