Always run the Citrix License Server on its own virtual machine. On small to medium sized XenDesktop sites, the license server won't be much of an issue. When you get into large deployments, you will need to scale appropriately. Early tests indicate that a Citrix License Server can issue approximately 170 licenses per second or 306,000 licenses every 30 minutes.
Also be aware that the license server is available as a virtual appliance separately and you can also run Citrix licensing as a service on a Windows server.