some people say that an external firewall offers new vulnerabilities....
Everything offers new vulnerabilities, there's no getting around that. The only thing you can do in regards to this is use a product from a vendor who has a reputation for being serious at patching known vulnerabilities and invests lots of resources into testing, remove obsolete software from your system and stick to the bare minimal of what you really need.
Windows Firewall is much better now compared to in the past and most Anti-Virus vendors rely on the same technology that Windows Firewall relies on as opposed to building the firewall entirely from scratch nowadays. Typically this would be because of usage of WFP for network interception. This won't apply to every vendor in existence but most.
Some people prefer using Windows Firewall with an addition like Windows Firewall Control (WFC), others prefer using a full suite which has a firewall component provided by a security vendor, in which the vendor they chose has their own scan/identification mechanisms... Network interception is also used for malware detection and other firewall components among different vendors has different customisation and features to provide along with the monitoring.
G-DATA have a good firewall, ESET have a good firewall, COMODO have a good firewall (?). People will use whichever one they feel most comfortable using, e.g. someone might want a feature only available by one vendor combined with the firewall component. There are many different factors as to why person X uses X over X or X.
People have different needs, different products provide different required features. If you're an average home user using a normal Anti-Virus solution with no firewall component then using Windows Firewall with it is likely a good idea although it neither would hurt to use a different vendors firewall if it's reputable and proven to perform well.