It is (or at least used to be) a free market. If you want to field an m-u, then there's no rule against it!
Usually, in my experience, one gets to take just one full-fledged player character (as opposed to henchmen) per expedition. The guy who puts all his eggs in one basket, so to speak, may see it rise faster than the one who spreads out the experience points among several characters. On the other hand, he may end up with no Plan B except to start over if his one and only perishes.
Magic-users tend to kick the bucket a lot. That's what those tiny hit dice, poor AC, etc., are supposed to do. What m-us are best at doing, above all else, is potting their fellows. The most attractive targets of all are m-us a level (or several) higher, because those tend to have nice magical goodies to covet.
That's how it is in old D&D, anyhow.