Probably too late for the original poster, but for reference I'd disagree with the previous post. The SQL Server can be in the internal network, as can any server solely running the CRM Async Service.
All components do have to run on servers in the same AD domain, so for this to work I'd expect to have to allow some AD traffic between the DMZ and the internal network
Microsoft CRM MVP - http://mscrmuk.blogspot.com/
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