Federated Learning enables machine learning across multiple sources of data and alleviates the risk of leaking private information between partners thereby encouraging knowledge sharing and collaborative modelling. Hence, Federated Learning opens the ways to a new generation of improved models. Domains involving molecular informatics, like Drug Discovery, are progressively adopting Federated Learning; this review describes the main projects and applications of Federated Learning for molecular discovery with a special focus on their benefits and the remaining challenges. All the studies demonstrate a real benefit of Federated Learning, namely the improvement of the performance of models as well as their applicability domain thanks to knowledge aggregation. The selected publications also reveal several remaining challenges to be addressed to fully exploit Federated Learning.