Why not? Different people that I follow are on different relays.
It seems to me to make sense to follow (some) of their relays just to keep seeing their messages no?
Discussion
Some clients do this automatically, they try to find out which relays are used by the ones you follow and connect to them read-only. Then you don’t have to add them manually!
Otherwise relays would become more and more centralised over time, if everyone is forced to use the same relays.