You don't need to install to a server

Here's why it's not recommended

It does not need to be installed to a server for any functional or licensing reason.

If you need multiple users to have access to the Admin Console, you can install it at as many PCs as you need within your company. 

Licensing is strictly based on number of PCs and/or servers you will be auditing.

Unlike "Discovery tools", audits do not launch from a console so your PC is never the place where audits happen.  

There's no "management" of audits that is required beyond a point and click, set it and forget configuration that takes seconds.

As a matter of best practices, which we're sure you're all aware of but bears repeating - nothing that doesn't need to be on a server should go on a server. 

Even software that has a reliability of 99.999% of not causing problems that may require a reboot or hard-shut down still aren't 100%.  When that happens on your PC, you're not happy.  When it happens on a server, a lot of people will be unhappy.

Graphics issues that may degrade the user experience.

In some (rare) cases, it may not even be able to launch on a server.

IE lock-downs that may disable some (or all) functionality for the Admin Console irrespective of whether Internet Explorer is even used on the server.

You'd have to create allow rules in Control Panel > Internet Options to allow the Admin Console to work. 
This is NOT a security risk, it's just how stuff works on a server.

DEP settings that may need to be changed if set to only allow Windows processes and selected applications.