Microsoft SQL Server has two* types of files per database: a data file and a log file. The log file is very important when it comes to recovery and crash recovery. There should be one log file writing transactions and actions.
Issues can arise when the log and data files reside on the same disk, mixing the activities or reading and writing from the data file and writing to the log file. If both files are located on separate disks it ensure there should be no conflict for disk access. By default, SQL Server sets these up on the same disk.
Although not typically a question of performance, it is generally not desirable to have the database file(s) location on the system drive of SQL server. When FileHold creates the databases in a new install, it uses the default location configured in SQL server. If this default has not been changed, it will be the system drive.
* There will only be one file when simple recovery mode is selected for the database.