Database Configuration
During Installation you specify the database server (see Step 3: Setup MySQL Database). Using localhost tells it to connect to a MySQL database on the same server. If you want to use a different server, then specify the IP address or hostname of the server hosting the database.
You will need to ensure port 3306 is open and that your application server can talk to the DB server on that port.
SocialEngine is a PHP application, and stores database connection info in a config file. This file is locate here:
application/settings/database.php
You can edit that file and change the database connection string even after installation.
Scaling Considerations
For scaling, I'd recommend that you look into the Amazon Web Services platform. There are other cloud platforms, but that's the one I'm most familiar with, so I'll give you some recommendations on what to look into on AWS.
Load Balancing: AWS Elastic Load Balancing (ELB) allows you to split web traffic between multiple servers.
Auto Scaling: With this you can have new servers started and added to your pool based on monitoring events (eg. CPU usage spikes, network traffic spikes). And you can have the extra servers shut down when not needed.
Remote Database Service: This is a managed database service with easily implemented clustering.
CloudFront: AWS's CDN
This is a very useful web cast on scaling in AWS:
AWS Webcast - Scaling on AWS for the First 10 Million Users
For monitoring, have a look at New Relic.
Let me know if you need further clarification/recommendations.