In mammals and birds the external reproductive organs and waste removal organs see to be the same. Is this always the case with other animals such as insects etc...? Are there any good reasons for it?
The cloaca, which is the common opening of the urinary, excretory, and reproductive systems, is present in birds as well as in non-avian reptiles (and thus presumably dinosaurs), amphibians, and monotremes (e.g., duck-billed platypus). To answer your first question, yes, this condition does seem to be universal for those groups mentioned above.
To answer your second question, evolutionary history is as good a reason as I can think of. The cloacal system has worked well enough for >350 million years (in the case of amphibians).