all grounds should be connected together everywhere.
if you are using more than one battery pack in a circuit you will need to connect all grounds together.
your servo ground should definitely be connected to the GND on your 9v battery AND your 5v(regulated) GND.
i don't know the details of your circuit but 9V will be too much for your servos.
you will need to power then from a 5-6V source. (again make sure all the GNDs are tied together.)