When running things from external storage, it needs to transfer that data to the device it's connected to; however, external storage tends to be limited in how fast it can transfer data; Additionally, the larger an app is, the chances are it needs to transfer more data at one time, which may not be able to happen through the current external storage device.
External storage isn't usually optimised for running apps on them, whereas internal storage is. For mobiles, I would guess it's best to have images, music, and small videos on the external storage, and have apps and larger videos on the internal storage.