Another feature of JDownloader is automatic extraction after successful download into root directory (if file is archive).
However, it doesn't support a lot of connections as these may cause program instability, so it's not like you can download anything more than 2 files at once (even if they're from different sites). Hence, you can't exactly go crazy with MF links.
I think MU and MF work the best with JDownloader. Resuming broken downloads (say if you got disconnected a bit during downloading) is better than just using browser, and speeds are generally better particularly during high site traffic.
However, sometimes DDL sites update their features so errors occur (takes some time for the programmers to fix). I got this 2 months ago with MF links, some "plugin error" or something. I gather it had something to do with JavaScript not working properly.