Are you talking about a wet bath (where the toilet etc. are in the actual shower compartment), or merely having the shower accessed from the same room vs. in a completely separate compartment?
The former is definitely less convenient; it takes more work to prevent towels and toilet paper from getting wet, and the floor of the bathroom is likely to be damp if not have puddles when you wish to use it "normally." The sole advantage of a wet bath is conserving space.
Whether having a shower completely separated from the rest of the bathroom or having a separate shower that's entered from the bathroom is more a matter of preference and layout than anything. I don't think there's any significant objective reason to recommend one or the other of those two setups.
