There might be a small disadvantage, but I doubt if it's worth worrying about.
In general, Google (and possibly other search engines) will give less weight to an incoming link if it's from a site that is obviously related. So, where there are several sites hosted on the same server, with the same IP address, and where there are other signs that they are operated by the same company (e.g. similar names in the URLs or page titles), then Google will consider them to be related to each other, and might therefore give less value to any links between them.
That said, the net effect on the sites' performance is not likely to be very significant - probably not enough to justify the effort of setting up multiple servers or dealing with several hosting companies. It might be better to put that effort into attracting high-quality links from unrelated sites.