Code review is a crucial process before deploying code to production, as it validates the code, provides suggestions for improvements, and identifies errors such as missed edge cases. In projects with regular production releases, the effort required for peer code-reviews remains high. Consequently, there has been significant interest from software engineering (SE) researchers in automating the code review process. Previous research on code review automation has typically approached the task as three independent sub-tasks: review necessity prediction, review comment generation, and code refinement. Our study attempts to (i) leverage the relationships between the sub-tasks of code review automation, by developing a multi-task model that addresses all tasks in an integrated manner, and (ii) increase model robustness on unseen data via collaborative large language model (LLM) modeling, while retaining the proprietary nature of code, by using federated learning (FL). The study explores five simple techniques for multi-task training, including two sequential methods, one parallel method, and two cumulative methods. The results indicate that sequentially training a federated LLM (FedLLM) for our code review multi-task use case is less efficient in terms of time, computation, and performance metrics, compared to training separate models for each task. Because sequential training demonstrates catastrophic forgetting, alternatively cumulative fine-tuning for multi-task training performs better than training models for individual tasks. This study highlights the need for research focused on effective fine-tuning of multi-task FedLLMs for SE tasks.