I wonder if there is a simple explanation (for a music lover but not specialist) of the advantage of HiFi components (receiver + CD player) vs. an all-in-one system? The former is more expensive, but does is really offer a higher sound quality or is it all in power/number of inputs? And if so, is the power of a microsystem not sufficient for a living room (for classical music without shaking neighbours' windows?)
Everyone's favorite answer: It depends (mostly on price).
As a generalization I believe it is safe to say that stand-alone components are (again generally) better than a micro / all-in-one system.
Especially when it comes to replacing or repairing separate components have obvious advantages but one big disadvantage can be that if you buy components from different manufacturers you'll be forced to use all kinds of different remotes (unless you get a universal one, which in that case I highly recommend).
As far as power is concerned a micro system will be fine for powering most small to mid-size rooms at medium loudness levels (depends also on the speakers just as much as it depends on the amplifier) but especially with classical music you usually have a high dynamic range which a more powerful amplifier will be able to resolve better and faster than what you can squeeze into a small micro system.
My recommendation would be to set yourself a budget and then see if you can find a nice enough dealer to try out a few systems over a week or two and decide for yourself which one suits you best.