SQL Database Server Integration with other Databases

Without the documentation I can tell you that it should provide much better performance but also think about the security implications of having your SQL instance on the same server as other applications.

While I can't find any concrete documentation, giving your SQL instance a dedicated server is documented as SolarWinds best practice.

It is not a MUST have but it would certainly be a worthwhile investment.

We migrated our off of a shared SQL instance to its own SQL server because several times during upgrades or support calls the installer wanted SA rights to perform changes at the SQL server level, not merely at the database level. That could have impact on the other databases running on the shared SQL server.