The main benefit is that the last version of the image remains in the document if the link fails to find it. I'm not sure on how much the file size with linking & embedding differs between embedding on the one hand and linking on the other. I imagine it'll be larger than if you just link the image, but hopefully it could be significantly smaller than embedding the images if they're oversized.

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Cheers,
Paul Edstein
[Fmr MS MVP - Word]