The main reason for putting it on the same server is that Visual Interdev does NOT directly perform the check-in/out procedure - it is an HTTP request. In other words, when you request a check-out, Interdev sends a message to the web server, which then does the VSS chit-chat.
So what? Well by the time VSS is involved, the 'anonymous' web user is probably doing the talking - and without a fair amount of privalige adjustment it is unable to 'see' or use a VSS on a different server.
It is this reason that, without additional fiddling, files are usually checked out to the 'IUSR_servername', rather than to yourself, when using interdev.
Yes, this is most peculiar and does not really work as well as you may want.