I've struggled with this decision myself. I want(ed) to leave open the door to the Backdoor Roth, but I don't know if it is worth the risk SumDay mentioned.
Incidentally, between my spouse and I, we have three 401(k)s at Fidelity, and they are better and best among 401(k) plans. It isn't really a matter of the custodian, but rather it is the plan sponsor that governs how good the 401(k) plan is.
Anyway, since our previous employer 401(k) plans are so good, I've really not been inclined to do rollovers, especially since both of our current-employer 401(k)s are "crap" (according to several folks on various personal finance forums). Of course, that means that when these current employers become former employers, I'll have to consider this again, especially if there is no "next employer" or the next employer doesn't offer a 401(k) that accepts rollovers into them. (Our current, crap 401(k)s remarkably do accept rollovers into them. Hmph.) It'll be less of an issue with my spouse because her total traditional IRA balance is low enough that we can just make that part of the Roth conversion (heck, it's not even "Backdoor" in any way) and pay the tax. I've got too much in traditional IRAs for that to work for me.