Unless D3 is very different from D2, unlike Warcraft you might not interact with other players nearly as often.

If you have a party of four characters, in D2 you would join a game and that was about it.
Other players in other games wouldn't even be aware of you.

With a shared auction house, it depends on how it is set up.
If its an interface you deal with on your end only, both to search/purchase or to list...
Then no one is going to see who you are, and that you have extra toons with you.

If you physically have (well electronically) a point where multiple players hang out online, the equivalent to Stormwind or Orgrimmar...
Then others will see that you have four toons with similar names and sync'd actions.

If Blizzard wants to make it illegal to box in their world, they could restrict the game to one game per IP address or something similar.
There are probably workarounds, but if they really don't want boxing then it probably isn't worth boxing the game.

If they don't care one way or the other...
They get their game purchases or commitment to subscriptions in Warcraft.
And you'll purchase the expansions when they come out.
And the AH thing, is other players buying/selling and not Blizzard...
Boxing might be difficult or doable, and it might be worthwhile.