Yes, you'll tend to use one application more than another. And likely you will end up using more than one for a specific job, using each for the things they do better. I regularly use 3 vector applications (XDP, CD and AI), with another thrown in for its great vector brushes when needed.
And I get native files in them all (and more). It's (nearly) always best to be proficient enough in the native applications so you don't end up jumping through any hoops to change their art.
I believe it is also helpful should you ever seek employment. For instance, work at a sign shop or where CNC cutting happens and likely they'll be using CD. It's just the odds. Seek work at an agency, likely AI. Etc.
Mike