shaft - you can't really go wrong either way. Hallowindow has great scenes for just displaying on a screen and for windows or TVs. I'd say try both and see which looks best with your house and other decorations.
The biggest problems with outdoor set ups are rain, wind, and people. People are curious, especially little people. They tamper and sometimes ruin things ... The elements: if this is just for Halloween night, you can make the judgement call on the morning about rain and wind, but if you are displaying for a week or so before Halloween, an indoor setup is less to worry about.
Personally, I like displays in the widows or projections right onto house exterior. It seems to fit more naturally into the framework of you house design and other decorations. But some of the Hallowindow stuff is designed for other purposes. So going back to my original point, the only bad thing you can do is NOT use your Hallowindow videos