If you install Linux first, Windows will see a grub partition on install and go “Oh, let me use this too” disregarding it’s for an entirely different OS. Then when grub is updated by Windows it goes “What’s all this crap, nah, we don’t need any of this” and then your Linux distro can’t be booted.
I’ve dual booted for years, never had an issue because I installed Windows first.
Mainly performance will take a hit. USB drives are also not really rated for consistent writes so you’ll find a USB dies quicker than a standard drive