I don't own a Zendrum yet, but I'm seriously considering getting one, and I'd like to put in my two cents *for* internal sound. I echo what others have said about it being nice to have as a back-up just in case, and that it would be really nice not to have to lug the other stuff around with me, and I wanted to add one more thing. One of the best things about a guitar, in my opinion, is that you can have it near your bed or workspace or whatever, and if the inspiration strikes you, you can just pick it up and play, without doing anything else. There is one step between you and music at all times: picking up the instrument. There's a big difference between "pick up and play", and "pick up, plug in, plug other thing in, wait for boot up, open software, play". It puts the music-making right at your fingertips instead of a bunch of set-up steps away, and to me that's quite significant.
I could easily understand this not being a standard feature, as it definitely looks like there are a number of people who just wouldn't consider it worth it, but I think it would be great to have as an optional bit.