I had to Google these to find out what you are referring to.
From what I could gather, you are comparing,
1. getting an internal Apple 8TB SSD fitted in your MacBook Pro at the time of purchase for an additional $ 2,200, vs
2. getting an external Thunderbolt RAID the G-Technology G-Speed Shuttle SSD for $ 4,800, vs
3. a Sabrent RocketQ 8TB SSD (SB-XTMQ-8TB) which is a PCIe SSD in a Thunderbolt 3/USB 3.2 case for $ 2000.
The G-Speed model you mention, is a 4-bay 3.5″ RAID fitted with 8 2.5″ SATA 1TB SSDs getting you 8TB formatted as RAID0. The RocketQ and the Apple SSD are actually comparable to each other as they are both PCIe NVMe SSD, one is internal and the other is external.
There is something very convenient about having a large storage inside you MBP vs one hanging off a cable, so if that kind of hyper portability is important, then there is no contest. Get the internal SSD. There is no detrimental effect of having one’s OS and data on the same drive as far as I can tell. I use my internal MBP SSDs to back up huge amounts of data off camera cards while doing other things like dailies grade or sync off the same SSD.
If having all that data available to any other system is also important, then get an external SSD. The Sabrent RocketQ is not the only one available in that capacity and form factor, so, shop around. For example take a look at OWC’s Thunderblade SSD RAID (2 SSDs), or the OWC Express 4M2 SSD RAID (4 SSDs). Even Netstor makes a handy 4-way PCIe SSD enclosure with a small fan too. Actually, considering the heat these SSDs produce when reading/writing, it might be a better idea to use external SSDs. The MacBook Pro is anyways quite ‘thermally challenged’.