I'm not familiar with the rules around Apple and iPhone apps, but generally when I make apps/games, I embed everything. The advantages:
- Your game/app is in one swf, making it easy to share
- Your game/app loads quicker as all the assets are there at load-time
- You're not dependant on internet access to get your assets (if you're loading them from a site) - good for an app
- Your game/app will "just work" - no security issues, no problems with urls changing/asset site going down (if they're external)
- If you use a swc instead of an swf (an swc can also be loaded btw), then you can also benefit from strict-typing
The disadvantages:
- If you need to update one of your assets, you need to republish the game/app