Pros and cons of CV and cover letter for Ph.D. position in the same document
Separate is the most common thing to do in general (for graduate programs, jobs, etc), probably because it is the most convenient for applicants, who will often have only one CV but different cover letters for different applications.  

Also, you will keep updating your CV throughout your career, and use it for many things, whereas cover letters are position specific.  This makes it somewhat more covenient to keep your CV separate.  

The only pro I can imagine to keeping them in the same file is that it will take whoever's looking at your application one less click to see your information, but it seems unlikely that the person receiving this will care very much whether they get one or two pdfs (if they do, they should say what they want in the instructions).