The main reason to choose an external antenna based module is when you are using a carbon fibre, aluminium or other metal based enclosure that would block/reduce the RF signal. For the external antenna you can just drill a hole in the enclosure and place it somewhere outside. Make sure that you attach the antenna firmly and there is no stress on the antenna cable.
In my tests the large antenna had a little more range then the smaller one that would result in a even more stable signal in RF dense places, but you also need the space for it. In general when not using an RF blocking enclosure you should be fine with the PCB antenna like @bwahl602 said.
You can have a look at the following thread where I tested the different antenna options in an open field range test and the impact of an CF enclosure on signal strength: