I agree with Ryan here and many others. Many companies, especially those who take security seriously do not like to have their own "security audit logs" hosted somewhere else, not to mention the legal implications there are in the EU.

Apart from that, yes such plugins do take up some resources from the server because they are constantly writing to the database though again this should not be an issue. Most WordPress sites have caching hence database is not so busy, and the database is definitely not the bottleneck for WordPress. Therefore such plugins are able to run on big websites without any problem, even when storing data on the same WordPress database if written properly. The excuse of "MySQL" database was not enough in terms of resources is not so true.

I've seen some implementations of our own auditing plugin on WordPress multisite which has 160 sites running and we never noticed any performance degradation. So if you develop the plugin correctly, this should not be of a big issue.