1. The location of your downloads, generally, does not matter. It can matter where you install your media after download however (e.g., video games, operating systems). There are a few considerations you should make regarding download location:

• Reliability - is the device going to fail and lose your data? For this you should research backups and redundancy.
• Size - is the storage device able to store large files? Obviously a 2GB USB drive is not going to fit a 100GB game. You should also research drive formats as, for example, FAT32 cannot store files over 4GB in size.
• Speed - transferring large files can take significantly longer on slower drives. You may also run into issues, for example, playing UHD HDR media from a slower/portable drive.

2. By "breaking any rules" I'm assuming you mean laws. Short answer: no. Longer answer: outside of advocacy and lobbying engaging in piracy is generally illegal.

3. Both have pitfalls to look out for. A lot of sites are scams designed to take your money, serve as many ads as possible, and infect you with malware. If you stick to reputable sites and make efforts to protect yourself (e.g., install uBlock Origin) you should be mostly fine. Torrents are generally better as they aren't easily taken down but may not download if nobody is seeding the files. Direct downloads can link to dead links but may be useful if the file is not popular enough to seed.

In general:

• stick to reputable sites
• install and use a VPN
• install and use an adblocker