You'd expect backups to run fastest when you perform them from the server that hosts the databases. However, you'll probably obtain the best performance by putting your backup device on the Exchange server. If you put the device on the Windows Storage Server system, doing online backups means transferring data twice (once from Windows Storage Server to the Exchange server, where the Extensible Storage Engine--ESE--backup API runs, then back to the storage server to be written to tape).
In most cases, you'll run Eseutil on Windows Storage Server because Eseutil requires local access to physical database pages. The exception is Eseutil's soft recovery mode, which plays back transaction logs to make a database consistent. Microsoft recommends using the /r switch from the Exchange server, not the storage server.
The Feature Pack supports using the Recovery Storage Group for fast recovery, but you have to create a Recovery Storage Group on your Exchange server, then move it to the Windows Storage Server system before you attempt to mount databases in it. The Recovery Storage Group counts against the total number of SGs that the Feature Pack supports. . . .