IIRC they don't really need any other aeons and the pilgrimage is simply to build the necessary bond for Final Aeon. Also Anima is final aeon for Seymour, obvious from the "use me and defeat Sin".

I really think that only difference between normal aeons and final aeons is for the summoners that had strong bond with them, that's what gives the extraordinery power and also that's what's kills them when Yu Yevon emerges from Sin to possess the Final Aeon and sever their strong bond with the summoner.