It really depends on the amount of effort the designer has gone to mitigate the emi/rfi inside the chassis of the amplifier. It will also be dependent on the components used in the amplifier. In my amplifiers I use toroidal transformers with electrostatic screening between the windings and a grain oriented steel band (sometimes called a belly band) around the circumference. This works for me with no measurable interference above the noise floor and certainly nothing audible. By far the biggest impact is where the transformer is situated within the chassis and how it is oriented as the magnetic fields are quite focussed. That's all part of the design and development process.
The advantage to me is that I know exactly where the transformer will be in relation to the circuitry (rather than in another box) and I can be sure that the amplifier will perform as designed.
Doing all of that is quite expensive and most customers won't appreciate the cost and effort that's gone into it so I can see why it may be preferable for some manufacturers to put the power supply in a different box and charge for it.
The advantage to me is that I know exactly where the transformer will be in relation to the circuitry (rather than in another box) and I can be sure that the amplifier will perform as designed.
Doing all of that is quite expensive and most customers won't appreciate the cost and effort that's gone into it so I can see why it may be preferable for some manufacturers to put the power supply in a different box and charge for it.