Has there been any research on this? It seems a pretty common pattern to have the gov't capital, financial center, largest population center and largest GDP producing cities all be the same place. This holds true in (more or less) stable industrialized countries like France, Japan, S. Korea, etc. as well as in many 3rd world countries.
I have a vague feeling its unhealthy, but that's admittedly probably at least partly because I grew up in the States, where it isn't the case and gives me something of a bias against it. And presumably there's a reason its such a popular model, even if it hasn't been a conscious decision in most cases.