Does this leave me with a single point of failure though if one of the physical servers goes down?
VSA works in a mirroring mode so there is no single point of failure
I have always thought the best solution is to use local storage and if possible replicate/mirror to a standby by server
When working on Virtualization products you would need a shared storge to get benefited on the features. To get benefited on the vSphere features like vMotion, HA, DRS, etc.. shared storage is must
There are some useful videos (http://vmwarelearning.com/) published by VMware, may be you use that for the learning