Six of one, half a dozen of the other really.
Many prefer to have their domains at the same company as the host because it's just easier with one company to pay and have contact with in the event of any issues. Also, if the domain is with the host, they will usually take care of things like nameserver changes which some clients may not be too sure of.
On the other hand, others may consider this risky with stories always around of hosts disappearing or being very unreliable. If the domains are at a separate registrar it's not as difficult to move hosting because you control your own dns nameserver settings without having to go through the host.
My advice is to do your research very carefully and pick a hosting company that ticks all the boxes for being around in the long term. With a trustworthy and reliable host, there should be no issue with having your domain with them aswell.
Also worth noting that there is no technical difference in terms of speed, etc if you have your domain at a different registrar so don't opt to have it with your host just because you may think it will be faster.