they draw slower. I once tried to make a huge purely decorative terrain section into an external bsp. Looked fine, collided fine, got about 10 fps though.
but that was a very extreme case.
if you're just replacing out of the way geometry that is just for looks (like the tops of distant towers or something), then external bsps are the way to go.
they just take more work to set up. you need to be a little careful with your lighting so that it matches up.
a final draw back: skip textures won't be removed when the bsp is loaded as a model.
however, faces removed as part of the qbsp filling process are still removed as a bsp model.
AND faces which are not facing the player don't cause collision.
so you can make concave models whose outside faces are culled:
http://mobile.sheridanc.on.ca/~jonescor/temp/spasm0206.jpg
this is the external model, has a lot of useless faces removed due to bsp culling
http://mobile.sheridanc.on.ca/~jonescor/temp/spasm0207.jpg
as a model, all the skip faces are visible, sadly.
http://mobile.sheridanc.on.ca/~jonescor/temp/spasm0208.jpg
but from the bottom (where the skip face is facing away from the camera) we can't see it, so it looks fine!