You can host MySQL on the same server as the game, but for me personally, it’s just much easier to use the same MySQL hosting where I host websites. Webhosting providers are cheap and already have MySQL, phpmyadmin, ftp, etc installed, so you don’t have to install them yourself. Besides, the Softlayer VPS I’m using for the game server is the cheapest one, so I don’t want to put any additional load on it. Network bandwidth is not the bottleneck here.