I cant speak for all hosts, but at CT, your MySQL, MSSQL, Web, Mail, and Backup (obviously) services are all on different pieces of equipment. This helps us streamline each server to fit its particular need, and increase performance.
*Note: Thats not to say dedicated servers are 'doin it wrong'. You CAN host all these services (except the backup service, I hope!) on the same box, but when you start getting into hosting multiple (like 50+) sites on a single box, you start to get into an area where the performance of a particular service may become decreased.
Say you have a 5gb MySQL database, and the application using that database is.. less than streamlined. You will notice your MySQL database using an increasingly larger percentage of cpu cycles and RAM, which may affect your mail aswell, if hosted on the same box.
If you have a MySQL box, ran on an optimized and updated Linux Kernel, with only what is necessary to run MySQL installed on the box, you will never notice any issue with your Windows box, running SmarterMail, with only what is necessary to run SmarterMail installed on the box (unless ofcoarse, you utilize an application which uses both services simultaneously, suchas a database mailer, etc)
Thats not to say you CANT double utilize (though we dont). You can have your Windowx box run SmarterMail and IIS, while your Linux box runs Spam Assassin and MySQL, and possibly even utilizing your Linux box as a gateway server for your mail. Its all about finding out the best way to utilize your equipment, based on wants, needs and TCO (total cost of ownership).