Sure, there's a company I've done a handful of productions with and on two of them, the director was also the lead (first he was Ligurio in the Mandrake, next he went all-out and played Hamlet) (same director in both of these cases, btw).
It was... tricky, but it never really posed a problem. I would record runs on video and put them on a private youtube channel. He would go home and watch it and either email notes or give notes at the top of the next rehearsal.
He's super professional about not crossing lines, so he never shared things peer-to-peer with other actors if they weren't meant to be shared. He was definitely seen more as a director than an actor.
As opposed to the show I'm doing right now, which is a two-hander and one of the actors is also the director and producer. He's way more of an actor than a director... Tonight was the final dress rehearsal and it was the first time we've had a cohesive notes session. Normally it's specific action notes like "this is how you should use that prop" but no real acting/emoting notes. It was very strange. He's used to acting-directing one-man shows so he's had a hard time translating his vision to the other actor, I think. So most of the time they feel like two actors on stage with no director, rather than a director in the audience watching a scene missing an actor (himself)