"woher" is considered better style, but the split version is very common in spoken German.
In German, there's a distinction between "where" in the sense of location, and of direction. It's the difference between the questions "Wo" (Where... is something located/did something happen?) and "Woher/wohin" (from where/whence, or to where... is something moving, or in what direction is it happening?)
In English "here" can mean either location or direction, but in German, "hier" is only a location, not a direction.
The question "Where are you from" implies motion (You used to be somewhere else, now you're here, you moved!) While "hier" by itself only expresses location (to express direction, you'd need "hierher", for instance, meaning in the direction of here), "her" always implies a direction. ("Kommen Sie hierher, bitte!")
Because of this location/direction conflict, "Wo kommen Sie hier" doesn't make sense.
Here are some sentences which may help to clarify.
"Wo sind Sie?" (where are you?) LOCATION
"Wohin gehen Sie?" or "Wo gehen Sie hin?" (Where are you going to, from here?) DIRECTION=away from here
"Wo kommen Sie her?" or "Woher kommen Sie?" (From where did you come here?) DIRECTION=toward here
You can say either "Wohin gehst du?" or "Wo gehst du hin?", and also "Woher kommst du?" or "Wo kommst Du her?"
This Location/Direction distinction shows up a lot in German. For instance, it's also what makes the difference between:
"Ich hänge das Bild an die Wand." (DIRECTION=Akkusativ, the picture's not presently on the wall, I'm going to hang it "onto" the wall, motion, so Accusative.)
versus "Das Bild hängt an der Wand." (LOCATION=Dativ. The picture is there already, is staying there, no change from "not on the wall" to "on the wall", so Dative.) This is for the so-called "Wechselpräpositionen": an, auf, hinter, in neben, über, unter, vor, zwischen (trying singing that list to "Twinkle, twinkle, little star!.. :] )
In this case, no, because of the difference between the formal Sie and the sie form used for plural use. So for example, because the sentence is Wo kommen Sie her, the capital S forces the formal You for the sentence. If it was Wo kommen sie her, then the 'sie' would be plural and refer to 'they.'
How do we know who the question was directed at - couldn't it have been directed at a third person, in relation the the person/people being spoken about, in which case "Where do they come from" could have been a perfectly acceptable translation?
We're never given any context for these sentences, which offen results in an ambiguous meaning (similar to that of "He's runnung around the house" which could easily mean running around inside the house, or, literally, running around the (the circumference of) the the house, which would refer to outside the house - not situation or circumstances make either one just as possible.