Question about Best Practices for ArcSDE

Hello,

If I have a server running ArcSDE on SQL 2008 R2 Enterprise, would it be best practice to also install ArcGIS Server Enterpise 10.1 on the same server? The reason I am asking is because when I deploy a new service through ArcMap 10.1, it's giving me warnings that my layer's data source is ArcSDE and not accessed via direct connection. Should I move my ArcGIS Server software to the same server where ArcSDE resides to clear this warning message and hopefully get a performance boost?

Thanks,
Igor