Archimago is good on this subject (see below). "Data integrity" loss sounds like nonsense to me, but noise isolation seems real. I use a server in a separate room. Going direct I had the best results with Audirvana and a mac.
The high end dedicated servers seem like another area where the differences are very small, if that, relative to the bucks, but I have only heard a few. Some are clearly just an effort to take advantage of digital illiterates.
https://archimago.blogspot.com/2014/01/musings-audio-pc-music-server-htpc.html