They don't have any locker rooms there for the men's team, and they've have to travel across town to the KC for weights, training, etc. They at least have that equipment out at the DCA. Plus, the rink at the Shell is 200 x 85. They do practice there sometimes prior to playing on an NHL ice surface.
The problems with the practice facility are numerous - 1, there's no single location. 2, because there isn't a single location, that means they're constantly traveling not just for ice time, but for weights and trainers, etc. 3, the team is living out of at least two different lockerrooms. 4, ice time availability isn't the greatest - the Coliseum will use the Arena for other events.
So, that's the burden to the team. Financially, it also means that UW has to lease out space at the Coliseum. Their current lease expires in 2014, meaning they have to get started on this thing pretty quick to have it ready to go by the time that lease expires. There's also the logistics involved in using the KC for 4 separate teams - by having a dedicated facility for women's games, they can reduce the number of changeovers needed at the big arena between hockey and basketball - nevermind the opportunity of actually making some money on women's hockey (or at least lessening the losses) because of reduced operating expenses on a smaller rink.
Basically, this is a large, up-front capital investment that will pay significant finacial dividends for UW down the road in terms of operational expenses.