This is not reccomended and called out in the guides as being against the best practice because if there is an array or SAN failure you will also lose the ability to manage and recover the array since the XMS has failed. The best practice is to store it on storage other than the XtremIO it manages. If there is no other storage, a physical XMS should be purchased and used for this purpose.  HTH
Does anybody run their XMS Virtual Appliance on a VMware cluster which is provided storage by the XtremIO cluster that the XMS server manages?   Is it a dumb idea to run the management server on the hardware which it manages?
XMS Virtual Appliance