I'm all about internal everything - external anything has a chance to leak, whether it be skimmer, pumps, closed loops, etc., there's always that "what-if". Now of course there's the "what-if" your sump leaks, but that's it compared to running a bunch of external equipment.
Drawbacks with internal returns would be heat transfer and electrical cords in the water. If you buy a good pump like any of the aforementioned brands you'll have no issues. I highly recommend ATB over Red Dragon for availability of parts though (they're almost identical pumps).
Another drawback, which you really cannot get around, is if you're pumping MAJOR amounts of water, or far distances, you almost have to go with an external Iwaki or Reeflo, like if your sump is in the basement and your display is upstairs for example.