Your understanding is correct. All other things being equal, it doesn't matter; but there are wrinkles.
One advantage to generating them on the server in question is it minimises the chance of the key being compromised in transit. As long as you use a secure machine to generate them, and a secure method (immune to MITM attacks) to move them to the server, you'll escape that. Don't forget to securely-erase them on the generating system, unless you deliberately intend to keep copies, and are secured accordingly.
One advantage to generating on a separate machine: usually, this will be your desktop. The entropy pool on a desktop machine is almost always deeper than on an unattended server, because the desktop has a big source of randomness connected via the keyboard and mouse cables (ie, you!). Shortage of entropy can either cause key generation to take a long time, or cause it to use
/dev/urandom PRNG output instead, depending on how paranoid the generating tool is, and this can lead to weaker keys; desktop machines tend not to have this problem.