Well for a start, using the same company will make it much harder to move. Often the price shoots up after a year too. And then there is the risk of somebody getting access, it is easier usually to hack a website than a registrar so a cracker or their could get access to your domain through a security flaw in your website. Also, companies are usually either better at domain management or hosting rather than both, I have huge respect for good support teams like Krystal Hosting have,which is easier when they are focused.
I'm not saying don't use the same company, but I always tend to prefer them separate.