Yes, you have to install Valentina Server separately.
Other option - VDN version of the Valentina Server, it can be included into your application installation.
If you want to stay with local database - why don't you use Xojo Web application?
Otherwise it is necessary to develop own client-server communication mechanism, for example, REST over HTTP.
Like it is done on these videos:
http://developer.xojo.com/webinar-web-services