Well, I just spent 20 minutes writing a detailed reply, but it's somewhere disappeared into Computerland…
For 25 years I have dreamed of what you are contemplating, and with retirement on the horizon I am starting to plan to do just that. For those of us where it gets cold and lots of snow, sometimes you just don't feel up to bundling up, trudging out to the garage through the snow, waiting a half-hour for the garage to warm up, then being overdressed for shop work. In my sig line you will see my plan. I dream of being able to go from house to shop and vice versa in regular shoes and no jacket; and that's just what I'm going to build. For us, we enjoy the snow and watching it fall, having to deal with it all day every day – not so much. We could move south for the winter, but we love the area, being near our family and friends in their activities, and being able to pursue my retirement dream, which is restoring classic cars full-time. So putting everything under one roof is my life's dream.
As for fire safety, fumes, etc. lots of people do this already, and there're ways to manage all that that aren't too difficult. Everyone has to choose what they want, but for me, definitely all under one roof!