How mature does their business have to be? Markus Frind (of plentyoffish.com) doesn't have an outside full-time job, but from what I hear he easily could. But the issue is not whether there are examples. The issue is that you shouldn't need to know whether an employee his a business or not. You look at their performance and nothing else. If you're right, their performance will suffer and you have reason to let them go. If you're wrong, you'll never even realize they have a business on the side. However, the converses of these two statements don't hold.

Steve Wozniak, Joshua Schachter, Craig Newmark, Brewster Kahle, Markus Frind