Anecdotal evidence only, but a friend of mine's son went to the same private nursery, primary school and grammar school. He never had the experience changing schools and friendships, then when he went to university he couldn't cope, and nearly had a breakdown. He had been with the same boys between the ages of 3 and 18.
I do worry a bit about this for my younger two. They are in the local state school, but the way our system works, you're with the same students from age 3/4 to 18.
You do change location - different buildings for nursery, then grades K-1, then 2-4, then 5-8, then 9-12 - and there are up to 160 students per year, so their friendships have moved about a bit, but even so I wonder how it will be for them to go from a small town where they know almost everyone to a completely different environment where they know no one.
All the local kids were back from college recently, and some are really struggling with college having been a big fish in a small pond for a long time.
DD1 went through three different school systems (one in the UK, then our local US system, then a US boarding school) and she has had no problem with going to college 1700 miles away. She would have gone 3000 miles away if Stanford had accepted her.
It's all so new to me. I moved house every two years as a child, then was sent to the most awful comprehensive school, so going to university was not only unexpected but also an escape.