Just because the Conan RPG enables multiclasses easier than DnD doesn't mean it encourages it by any means.
First of all, the book itself says "characters are encouraged to stick to one class for at least ten levels so as to gain the maximum number of feats under the Favored Class rules." (Player's Guide, p. 57) Further, "[r]ather than allowing for easier multi-classing for characters of that race and class, favored classes grant bonus feats." (PG, p. 25)
Now, for some specifics. Barbarians and Scholars clearly gain level-dependent benefits such that switching class makes little sense, as we all agree. But other classes do as well. A Noble gets his "Do you know who I am" at 11th level - if you switch to Pirate to get Uncanny Dodge at 4th level, then you delayed that ability to 15th level (probbably can't switch to Barbarian, see below), and can't get Absolute Power at the Noble 20th level. Borderer and Nomad each have special abilities that go up every several levels (I'm not talking about terrain) that can't be acquired elsewhere, e.g., Nomad's Mobility chain. Thieves and Pirates have sneak attack that will suffer if they go elsewhere.
Also, one basically cannot become a Noble later on ("it is not possible for a non-noble to gain a level in the noble class once play has begun, except with special dispensation from the Games Master"), so switching to that is not really an option. (PG, p. 72) One cannot easily become a Barbarian or Nomad ("a character who did not start out as a barbarian or nomad, for example, will need to live extensively with an appropriate barbarian tribe or nomad clan before he can reasonably take a level in that class"). (PG, p. 57) I would say that some similar situations would need to be the case for Pirate or Scholar as well. Therefore, there are limited options to even multi-class into, if multi-classing is desired.
Finally, what reason do people have to multiclass? To Soldier for some feats and combat, to Pirate for sneak attack and uncanny dodge, to Thief for skills and sneak attack. That's about it.
That doesn't sound like much encouragement to me - not from the book's general statements, not from the bonus feats for not changing, not from missing limited availability high level special abilities for many classes, not from what classes one can even switch into (these are limited), and not from what you can even get from another class with just several levels. So maybe with all this, you can see where I'm coming from as to why multiclassing is not encouraged in Conan.