multiple replying to myself which is bad, but I missed your actual question.
SQL Server, if that's what you are talking about, gets you around the workload governor limitation of MSDE
better scaling is one of the major benefits of using SQL Server, along with potentially better resiliency and administration options. In the case of BES for Exchange RIM recommend the move away from MSDE if you've got multiple Exchange servers and if you've got or are likely to have >500 users (see the BES Exchange requirements)
A quick search of the forums turned up a past discussion, see the last few posts of this thread
if however it's a relatively small installation (very few users, single messaging server) it may be best to leave it on MSDE or it's superior replacement SQL Server 2005 Express (which is supported by RIM as long as you are not using MDS services I understand)