LDOs to prevent too much heat

LDOs do the same job as regular Voltage Regulators, convert excess voltage into heat.
The advantage of LDOs is that they can be used with a lower input voltage for regulation.
Yes, it is common to use switching regulators followed by Vregs to create multiple voltage rails.
It can also be done with multiple switching regulators as well (more efficient if it does not mind the noise)
Vregs are not a good choice when battery powered.
If powered via mains psu and heat can be managed, Vregs can be ok and easier to use than switching regulators
Micros do not mind too much if you feed them with noisy power rail.
ST, like many chip makers, provide for a seperate power supply section for noise sensative parts of the chip, eg ADCs or DACs