I don't think I can change my username. Sorry if I offended anybody. I have a forum account on bodybuilding.com too and people call each other manlet. Just thought it meant your short. I do consider myself short.
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To answer your question, yes embolism risk should be lower with externals as "installing" them is less invasive then nailing.
Possible risks are as you mentioned, minor pin site "infections" (inflammations actually, they never should get to infection status if you properly being monitored by the Dr or by yourself if you will, it's not hard to detect inflammed pin sites). Then you usually use anti-inflammation and antibiotic creams on that particular pin site until inflammation goes away. That was always enough for me and I've spent in externals about 2 years. Rarely it should get to a point where you'd need to take oral antibiotics or remove/replace the pins.
Then there's risk of valgus/varus deformities . Internals lengthen along the anatomic axis so usually you won't get any deformities, however some minor (in rare cases not minor) deformities are still possible with internals due to nails bending from what I've seen on x-rays, and my Doc confirmed that they have "bad valgus" (or varus - I don't remember). You also can't fix these deformations with internals. But with externals IF (because not all Drs are good with deformity corrections, though Solomin/Kulesh are quite good - the have a lot of female patients fixing valgus/varus deformities and they also use hexapods, which can be used at the end of the lengthening phase to correct, if they occur, complicated deformities) you go to a good Doc he should be able to completely straighten the bone with the external frames and also hexapod installation if needed, however it's not always possible, so you may be left with minor valgus/varus still. Also, with externals you can account the change in knee axis (mechanical axis) if you lengthen your femurs and adjust accordingly so your knees are 90 degrees else you run a risk of developing arthritis in the future. With internal femur lengthening you're going to throw off your mechanical axis almost guaranteed, even though they're considered "absolutely superior" here on the forums.
Pin bending and breakage also happen. Though I never had any pins break in 2 years, but they ALWAYS bend, however this is always accounted with external lengthening and changes are made accordingly. Plus replacing a broken pin is a very simple and cheap process. If your internal nail breaks (quite a few cases here on the forums you can find) you're fked.
This is what I can remember on top of my head and are the most important points.