I don't like to put my catalog storage directories within the directory structure of any Web site, either virtual domain or subweb, because if the directory in which you've stored the catalog is a subdirectory or virtual subdirectory of a virtual root, then Content Index (CI) tries to index it with the rest of the site. I don't want to have to make sure that the catalog directory is excluded. If I need the catalog directory to be in a virtual domain, I can add it as a virtual directory later.
Also, other applications (e.g., Microsoft FrontPage) sometimes change the contents of the catalog directory if the directory is physically within the Web domain. (I'll talk more about this problem next month, when I show you how to use Microsoft Index Server with FrontPage 2000.)