Most applications use one or more frameworks to do the heavy lifting, OWIN is just the pipeline glue. For example you can place WebApi in your pipeline to handle REST operations. (
http://aspnet.codeplex.com/SourceControl/changeset/view/b7090b4bc822#Samples/Katana/WebApi/Startup.cs)
If you only need one component/framework to handle your workload, then sure, you may only have one thing in your pipeline.
"Is this a rule? Are there guidelines?" - What rule are you referring to? The Katana components are very granular because we expect people to pick and choose the ones they need and assemble them as they see fit. Granularity also helps with testing. Applications are similarly unlikely to be a single AppFunc, but rather a chain of AppFuncs that implement individual pieces of the system. Consider Microsoft.Owin.StaticFiles, which actually contains several separate middleware for directory browsing, default file names, and serving files.