It depends on your server, how much disk space you have, how fast your disks are on the different drives, etc. Most people prefer to not have some features on the drive with the operating system and the pagefile. Back in the day, poorly behaved SQL databases would happily overwrite the operating system if they grew too large, as a colleague discovered back around SQL Server 7. I've been nervous about databases on the system drive ever since.
Anyway, I think this answer from dba.stackexchange.com might prove useful to you, but I don't think the world will end if you do or don't split the shared features and instance directories onto different drives. It depends a lot on your hardware, how you're using SQL Server, etc.