I believe it is a theoretical advantage on today's line stages. Back in the days of real preamps (with built in phono stages), a seperate supply had real value. The smaller the signal, the more it needed to be sheilded from magnetic interfence from the power supply.
As of today, when most 'preamps' are actually line stages, the signal is strong enough, and the power supplies can be internally shielded well enough, that seperate power supplies really are only theoretical improvements.
I guess if you are still considering a full function preamp (w/phono) today, there could possibly be a slight audible difference from the phono source with an internal vs. external supply.
John