The 'Camera Raw Database' is written to a local directory on your machine, and won't travel (without an extra step) if you copy the CR2 file to another machine. If you use DNG then the metadata will be stored in the file.
If you store the camera raw settings in the Camera Raw database and plan to move the files to a different location (CD, DVD, another computer, and so forth), you can use the Export Settings To XMP command to export the settings to sidecar XMP files.
You may have been using, and wanting, sidecar .xmp files, but just had them hidden in previous Bridge versions. To hide the .xmp file from the Content panel's display, go to View> Show Hidden Files and toggle the checkmark OFF, by selecting it.