Hmm, interesting question.

My instinct tells me to run the grounding lead from this protective device separately down to the electrode(s) in the straightest, shortest route possible. However, even with a very low ground impedance, if the xfmr neutral is bonded to the same electrode system (or even a separate system close by) then the secondary side is still going to rise to a high potential if lightning strikes.

How is lightning protection arranged in places like the Mid-West where lightning storms are quite frequent and violent?