External power for Raspberry Pi USB device
The connection scheme you are using will work fine even if you use two separate supplies, one for the board and one for the device (5v each).
As long as the Vcc wire is not connected between the device and board you can power the board from the USB port of the PC and the device from a wall wart.

When you are using the same PSU to power both the device and board (like in your image) there in no need to break the Vcc connection between them, they are connected in the PSU junction anyway so they may as well connect through the usb wire too.

In other words you can use the Y cable you show to power the device and board without a need for any modification BUT while they are powered like that you can't connect the board to the USB port of the PC, if you want to do that then you should leave the Vcc connection open.
The Vcc wires shouldn't be connected between devices that don't share the same power supply (unless there is a protection mechanism like a diode).