It's pretty common for most shared/reseller environments to use locally hosted MySQL, and usually there are no issues. Chances are, if a website has a database so large that it needs to be hosted on a standalone SQL server, it probably isn't suited for a shared Apache server anyway.

It really depends on the configuration and size of the site. However, unless there is a definite NEED for it, I think its much simpler and more efficient to use one server for both web + mysql.