Some basic thoughts based on the brief information given....
It sounds like you are using what some would call pass-through authentication (by using a common administrator account), does work, and if you're not experiencing issues then I'd agree - things that aren't broken don't necessarily require fixing.
However, you are dependant in a solution like this upon MS not making adjustments to security to block this type of solution, and on your passwords across the box staying in sync at all times.
You mentioned SQL. Because of the way you are running, all your authentication across your machines is effectively NTLM, which requires every request to authenticate. On the low end, this isn't really noticeable, but as your site scales up and your transaction levels increase, I would expect you to start seeing subtle bottlenecks in throughput on your sites.
Being on a domain mitigates both of these. The first point is obvious. For the second - being on a domain enables you to use (automatically I might add) kerberos authentication, where an authentication by a given user is provided in the form of a 'ticket' that lasts for minutes (if not longer). For an application taht is using SQL heavily (like mine does) - the difference is literally night and day.