Archived WAL is another thing, but PGDATA and pg_wal should IMHO always be located on the same volume, along with tablespaces, if any.
My understanding that having such a setup (single volume) eases administration at the cost of performance. It is perfectly acceptable to favor the performance benefits, you just need to ensure that your administration of the server is robust enough to handle it properly. It sounds like this product, though, doesn't provide the correct depth of administration while recommending the performance weighted setup.
