Is there any major difference between these two? Like effeects quality or sustain? As i know processors are just like some kind of "bundled guitar pedals". Is it so? Because as i know for example a person who wants "Led Zeppelin sound" on his guitar will need to buy bunch of electric-guitar pedals and put them in right sequence. Instead you can buy a processor and it is already built-in there. If there is no major difference why people do not just buy a processor and let rest of it to the device? And plus as i see on stores, processors cost less than any "bundled pedals".
Different guitarists may have different reasons for preferring individual pedals over digital multi-FX, but they usually fall in two categories:
If there is no major difference
...but is there no major difference? Many musicians, and guitarists in particular, still have a general stigma against anything digital. Much of that is just superstition – by now, basically any analogue circuit can be emulated digitally so well that it's impossible to tell the difference. But that doesn't mean all digital effects, and particularly all presets, actually do the advertised job of getting you the sound you want. Or maybe they do get the sound you want, but only when playing a particular guitar and using a particular amp and can't really be adapted if that situation is different from what the manufacturer assumed.
a person who wants "Led Zeppelin sound"
but not everybody wants just something like that. Musician is a creative job, it's not about just copying something exactly as it has been done before (like, “it's not a creative artist you want, you want a bloody photographer”). With individual effects, it's very easy and literally hands-on to tweak the knobs, experiment with different orders of effects, etc.. And because you do that already whilst first setting up everything, and indeed also often later (because you played another set requiring different parameters, or merely because after transport the pots aren't in position anymore), you also readily get practise and a feeling for what the knobs are actually doing, so you know exactly which one to turn if you want to change the sound yourself in some way.
This is very different with digital multi-FX, especially with the smaller ones that have just a tiny display and one “data” knob. Then, particularly if the presets are actually good, most guitarist will just stick to those, maybe tweak one or two parameters, but never really develop an own sound.
Again, this doesn't mean it's not possible to create own sounds digitally – on the contrary, in principle DSP is highly customisable and with the right skill you could program it do produce completely novel sounds that really nobody has ever done before. Just, this requires a very different skill set from just changing pedal order and tweaking knobs, and almost no musician would actually do it.
There are many noticeably different flavours of each effect, and the advantage with choosing separate pedals is that for each effect, you can choose a pedal that sounds and works close to exactly how you want.
The likelihood is that in a multi-effect processor, any given person might like some of the effects, but not others, so they might feel limited in some way by the effects they don't like.
Another issue is that some multi-effects pedals do not allow the signal to be routed exactly as a player would like. It can be very tedious to only have a single, series routing available.
Multi-effects pedals also tend to be more mass-market devices, and they might not be capable some of the crazier sounds that more extreme single pedals can do.
Of course there are many very powerful multi-effects processors these days, and it's not the case that they necessarily sound 'worse' than single pedals.