Besides not filling up your home drive, doing massive data work of any kind can benefit from being on disk space that isn’t on the same hardware as your OS and application files, per @HungryGuy‘s point that there is less movement of heads. ... the movement of the heads for the stream of rendering I/O will stay localized on the external drive, and OS/application access will stay in those neighborhoods. through put from each will suffer less delays from latencies going back and forth.
An external drive also probably goes through a distinct I/O controller (for the USB bus) while the system drive is typically going through an onboard SATA controller with it’s own DMA(direct memory access) connection to all the system RAM.