Sure. I'll just mention this first, I'm going mainly by MMF1/2 knowledge here, but I'm guessing the general logic is the same, since there are many similarities between MMF2 and CC.
As far as I know, the main difference is how/when the sounds are loaded. If you bake in the sounds into the exe, the exe will (narutally) be larger, and consequently take longer to load. Having just one file can be seen as both a pro and a con I guess.
Loading the files externally will in general allow the program to load up quicker, but it will load the files when they are called for (which back in MMF1.5 times were kind of a big deal IIRC). If you don't want the audio files to be easily copied or accessed out of game, then this would be a con, since you effectively store the files outside of the executable.
Now again, I'm not 100% sure that this is completely true regarding CC, though it was with MMF2. However, unless you are doing something seriously intensive you shouldn't have much of a problem with either method, since computers today are more than powerful enough to handle loading the files on the fly. It's good to keep in mind though.