Two reasons:
Security & Performance.
NT4 is not very secure at the best of times. I have not come across security issues having exchange on a BDC, but I do not have web-access or RAS enabled. You can overcome most concerns by going to sunbelt software & get a trial-ware download of a piece of software that fixes the top 1000 known volnerabilities of NT & 2000. Most of the fixes are 'Press this button to fix it'.
Performance for me has not been an issue, but the BDC I am running exchange on has 1/2Gb of RAM (v.cheap these days) 2xPentiii 866, I only have 50 users, & the only other thing this server does is a little file serving.
If you don't have many users relative to the capacity of the hardware, then security is your only concern.
However a DC also makes it harder to migrate Exchange 5.5 later to another box. I don't know how much harder it is to upgrade to 2000.