Indeed... Actually this solution works for many opportunities other than chat. As long as the application (be it ASP or PHP, Perl etc) will reside happily in an iFrame (ie: not jumping offsite in varied ways) you can do all sorts of things.
We slapped a chat module in an iFrame and it works just fine. The only downside is there is no bridge between DNN and it, that is to say passing the username into Chat. Really wouldnt be too difficult to code up I'd imagine.
For sites with considerable traffic or expecting it this is actually a decent solution. Unix is still quite a bit more resource happy than is Windows IIS/ASP. You can offload work if one so chooses so things such as Chat, Forums etc. can readily be done on another shared server lets say in an iFrame!
Windows host providers are not all alike either for that matter. We have hosting with DiscountASP.Net which is a MS certified host. Response speeds are good with DNN. At the same time we have ASP hosting as well with Affinity's Gate.com. Gate uses dedicated Database servers. Response times on Gate are not as "peppy" in serving up pages but DB access is quicker.
It'd be "nice" if DNN had some form of tool to simulate or predict exactly how much load it can handle in a given hosting environment. With Joomla for example one can have alot (alot) of users on a simple shared host. Amazon.com uses a PD CMS for many things at their site due to the server load.
There is nothing saying that a DNN site cannot utilize items not specfic to DNN, thats part of the beauty of Portal based software. DNN does not call itself a CMS, it calls itself a Portal System. Its a framework. Modules made for DNN can plug into that framework but by no means is this all that can be done. The wise webmaster in fact might consider a highly expandable/extensible website as being a partnership of both. DNN where applicable and offloading varied applications to other servers be that work ASP, PHP etc.
Site design for high traffic is an artform and should be considered before building a interactive site. If your site is expecting 50 kids lets say from each state per hour your looking at 2500 users at once. Its important to consider how one needs to offload server loading where one can