Trivial Example with two points
Potential Pareto Optimality for three hyperintervals on different $\sigma$-levels.
Although for small values of $\alpha_1$ and $\alpha_2$ the virtual lower bound for $F_2$ is dominated by the virtual lower bound for $F_1$, for large values $F_2$ is non dominated, therefore both $F_1$ and $F_2$ are potentially Pareto optimal.
Figure 5(c) of "On the Extension of the DIRECT Algorithm to Multiple Objectives" by A. Lovison and K. Miettinen
