If external cooler fails, you lose trans fluid without knowing and damage the gearbox permanently. Moreover there are many issues of installing external cooler and many people have complained of issues after installing one. Some people have had no issues in their specific situation other than clutch slipping when cold. External coolers can cause abnormal gear shifts, premature wear or worse a damaged gearbox.
There are millions of ZF gearboxes running well with coolant to trans fluid heat exchangers on Ford, BMW, Audi, Land Rover and many more ZF R&D team decided on it that way after extensive testing including sub zero temperatures as well as desert conditions.
I know which one I'd prefer. But people shouldn't get sucked into unnecessary mods promoted by mechanics.