Another good example of an omnibus hypothesis test is the chi-square test for categorical data. Taking independence of the categorical variables as the null hypothesis, a significant result only tells you that independence is improbable, but does not yield any information about which levels are significantly different.
I think of omnibus tests as analogous to existence proofs: they'll confirm there's something there, but won't tell you what it is.
Maybe someone in http://stats.stackexchange.com will be able to answer.