You are not required to put audit indexes in their own storage area. But you can easily do this when you enable auditing and, as with other data storage areas, there is no good reason why you shouldn't segregate tables from indexes. To quote the docs:
While not required, it is recommended that the auditing tables and indexes be placed in their own area.
Regarding performance, you should be sure to archive your audit data on a regular basis to keep your audit tables and indexes in your application database(s) small. And you should ensure that you deactivate the non-essential audit indexes, since the only reads that should be happening on those tables are those done by proutil auditarchive.
In summary, in case I wasn't clear, you should not put your audit tables and indexes in the same area.