I don't think so. They are co-located with the rest of the instrument, like other support files. They aren't very big, though. typically 0.5 MB to 2 MB in size.
NI is typically close-lipped about the actual details of the standard (I couldn't find any links to the SDK online), but I checked my NKS-compliant libraries and the preview samples appear to be in files having a .nicnt (Native Instrument Content?) extension.
BTW,
here's a list of vendors that support the standard. It's a who's who of the major players, even if they haven't all converted all of their products yet.