The rapid growth of energy demand requires progressive energy generation. This, together with the demand for higher efficiency and flexibility, has promoted the application of power electronics in energy systems. During the past decade, model predictive control (MPC) of power electronics has witnessed significant advancements in both dynamic performance and optimal control of the multi-objective terms. Several of these terms can have equal control priorities, resulting in a symmetrical cost function; however, most objectives have different priorities and require weighting factors to resolve the asymmetry in the cost function. Currently, researchers continue to encounter challenges in the optimal design of weighting factors. Moreover, the relative performance of different techniques that either utilize or avoid the weighting factor are uncertain. Therefore, this study focuses on weighting factor design techniques in the literature as applied to wind/solar energy conversion, microgrids, grid-connected converters, and other high-performance converter-based systems. These are grouped under the heuristic, offline tuning, sequential, and online optimization methods. This study demonstrates that optimal online tuning of weighting factors and sequential MPC methods can both offer improved robustness against parameter uncertainties. In addition, the advantages and limitations of different techniques are highlighted.