In this paper, a two-stage model of an integrated energy demand response is proposed, and the quantitative relationship between the two main concerns of investors, i.e., investment return and investment cycle and demand response, is verified by the experimental data. Energy storage technology is a key means through which to deal with the instability of modern energy sources. One of the key development paths in the electricity market is the development by energy merchants of energy storage power plants in the distribution network to engage in a grid demand response. This research proposes a two-stage energy storage configuration approach for a cold-heat-power multi-energy complementary multi-microgrid system. Considering the future bulk connections of distributed power generation, the two most critical points of energy storage station construction are the power generation equipment and specific scenarios for serving the community, as well as the purchase and sale price of electricity for serving the community microgrid (which directly affects the investment revenue). Therefore, this paper focuses on analyzing the different impacts caused by these two issues; namely, the two most important concerns for the construction of energy storage configurations. First, the basic model enabling wholesale electricity traders to construct energy storage power plants is presented. Second, for a multi-microgrid system with a complementary cold-heat-power multi-energy scenario, a two-stage optimum allocation model is constructed, whereby the upper model calculates the energy storage allocation problem and the lower model calculates the optimal dispatch problem. The lower model’s dispatch computation validates the upper configuration model’s reasonableness. Finally, the two-layer model is converted to a single-layer model by the KKT condition, and the nonlinear problem is converted to a linear problem with the big-M method. The validity is proved via mathematical examples, and it is demonstrated that the planned energy storage plants by merchants may accomplish resource savings and mutual advantages for both users and wholesale power traders.