Performance is one reasons, a single point of failure is the other. If your server crashes, you not only lost your exchange data, you potentially also lost all of your backups as well (if you use only B2D).
A lot depends on your environment as far as performance goes, but there is no way around the single point of failure issue. Even with tape backups, you would still need to rebuild your server, reinstall BE and recatalog all the tapes, just to bring back your exchange server.
Best practice is to keep them seperate.