None at all, it just isn't implemented.

What is a problem, is separating the wallet and the database environment. If your client (or your computer) crashes, you must have the database environment (the files in $DATADIR/database) to recover the data. If those are not available, the wallet may get corrupted. BDB isn't really intended to be used with free-floating database files - it expects them to be part of such an environment.

Now, we are slowly moving away from BDB. 0.8 (and this next-test build) do not use it anymore for the block chain indexes (it uses LevelDB instead), and we'll likely stop using BDB for wallet files as well. At that point, it will be perfectly safe to select any file/location for your wallet.