I think you have your terminology confused...
Dedicated server can run multiple VPS's and that's what a VPS is, a Virtual Private Server (small piece of a bigger server).
You can also run something like Parallels to create a virtual environment on your laptops and make it like a VPS. There wouldn't be a benefit to anything if you're looking for speed as the program that runs the VPS (Parallels) will need to use resources (CPU and RAM) and you'll be left with less than if you just used your laptop.
If you just want to CONNECT to a remote VPS then yes, you can have multiple connections windows open and connect to a lot of different VPS's at the same time with just about any computer.