Good to hear to are considering biometrics and want to learn more about them.
Using a fingerprint scanner is generally considered (in a windows hello context) to be a convenience not an increase in security, however, I can envision several situations where security could be increased or decreased depending on the situation.
- Fingerprint scanner are generally considered to be spoofable, meaning a sophisticated attacker could make a fake fingerprint or even use some other trickery to login as you. See this article
- If someone makes a fake fingerprint of you,you can't change your fingerprint. This is a problem with all biometrics, they are tied to you and unchangable.
As to some of your other Questions:
It doesn't matter if you use a external USB one or the built in one on your computer, they work the same way. If malware is on your computer intercepting your devices then you are already compromised and the app could be recording your keystrokes or pulling your passwords directly.
Windows Hello treats your biometric data about equivalently to the "PIN" on your computer, a local replacement for your password. The biometric data is local to your computer, and is not synced to the cloud. Microsoft considers that someone is physically present attempting to login to your device to be a factor in the multi factor authentication scheme that justifies their windows hello approach.
Basically, if you have an attacker physically attacking your device between your uses, you are in trouble. They could break your fingerprint scanner, and install a tiny camera to record you typing in your password. Or physically insert a keylogger or a host of other attacks.
It could increase your security if you setup the fingerprint in a secure location and only after use your fingerprint in public places, then an observing attacker would not be able to get your password from recording you logging in for example.