It's usually better to be externally mounted, but because everything is measured in integers there are cases where it's preferable for a particular gear to be mounted internally. Also, there are some disadvantages to externally mounted weapons: they're more likely to be disabled by damage, and in GH2 there may be to-hit penalties based on mass*.
*In GH2 there are two-handed weapons. If you equip a weapon that's above a certain weight limit, you are told that the weapon is too large to be used single handed. As long as you have one hand free, it's no problem. However, if you try to fire it and you don't have a free hand to use, you suffer a to-hit penalty. This also applies to mecha. Internal weapons don't suffer this penalty.