Well, they are going to be adding a feature called 'trade routes' which will change their function in ways we don't currently understand. I would asssume that building it near your production/high traffic areas might be very beneficial depending on how that update affects things.
Another issue with building in deep space is the increased cost of station construction due to the lowered system stats (as deep space coordinates have no planets to raise system stats). Consequently, if you're building, say, a shipyard in deep space, any ship you construct there will cost more and take longer to build.
Be careful about where you decide to place your stations. If the "deep space" you build in is inside a sector controlled by a group, they might not like you being there and might aim to make an example of you come combat.
I would suggest contacting whoever controls the sector before building, if only to let them know that you're a new neighbour.