memcache is a distributed memory caching system.
I don't see there being any real problems with running it for a small scale site. But if you have a need for memcache in the first place, then maybe you need to be looking into a dedicated hosting service.
memcache is by design intended to be distributed. meaning spread out over more than one source(in this case a server). There is really no point in using it for a single shared hosting account.