For my deck specifically i keep em all on the SD Card, somehow valve made it so that I personally don't see a difference between nvme and sdcard.

For my pc yes, I just use it to transfer to my gaming ssd/nvme storage, but thats primarily because my internet is slowerthan the transfer rates.

I probably wouldn't try running helldivers on my pc through an external card for instance, but it would work perfectly on my deck in that form.

You can run them off SD cards. There's a hit to loading speeds, but it's not that mucn