its for you to decide how to configure, depends on many things, like how your proxmox installed, is it using all your disks now (are you using mirrored raid of small disks/SD cards for proxmox and separate disks for VMs), or you want to install VM on separate disk, do you want to put few separate storages to VM, maybe you are planning to use smaller disk now and extend later etc.
keeping DA inside VM on proxmox has it's benefits, like you don't need IP-KVM to access to your server if by accident broke something in firewall or network, because you have console in proxmox to connect directly to VM, you can make snapshots to restore something. For example you can provide VM few separate partitions, one for OS other for /home+mysql, then snapshot them separately and in any case restore OS without touching /home+mysql etc. it can be various combinations