Kennie Pontoppidan discusses why you don’t want your transactional system on the same instance as your warehouse:
Mixing OLTP and data warehouse workload types in the same SQL Server instance is not a good idea. Why? Well, because the workload types don’t mix. As described above, an ideal buffer cache for an OLTP system contains pages used in searches as well as pages for the most used customer/items etc. Running a few data warehouse queries will change the buffer cache to contain (mostly) all dimension data. This will make OLTP operations slow. On the other hand, the ideal buffer cache in a data warehouse will contain all dimension data, which makes aggregations fast because all dimension lookups will be done in memory. OLTP operations might flush out parts of this dimension data from the cache, hurting the performance for data warehouse queries. The two workload types will keep on fighting about the content of the buffer cache, making both systems suffer.
Except in very small systems (where it doesn’t much matter), this is sound advice.