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.