The implications are that an integrated sequencer would, in the case of Elektron, allow you to p-lock (read: automate) any parameters/effects/LFOs natively without having to do any midi mapping etc. Plus, depending on the brand/model and the type of sequencer that a synth may come with, you win/lose features compared to Elektron‘s sequencer. Eg the Korg Minilogue has an integrated sequencer, but if I had one of them, I‘d def sequence it through my DT, as the Elektron sequencer is infinitely more powerful than the Minilogue on-board one.
As for the DT/DN, the DT can send up to four notes per midi track (read: you can play/record chords of max four simultaneous notes per midi track). Secondly, each midi track can send midi messages through one dedicated midi channel only, ie if you set your midi track 1 on your DT to Channel 1, all msgs will be sent through to Ch.1 on the receiving device. That said, you technically could set two midi tracks on the DT to the same midi channel, which would give you eight notes simultaneously played albeit stretched across two sequencer lines (ie you’d have to program four notes onto midi track 1 and four notes onto track 2).
In general, the DT sequencer / midi tracks are great and as powerful as the Elektron sequencer comes.
The DN’s sequencer (four tracks) is pretty much the same as the DT’s though, so I’d just use the DN’s internal sequencer (or A4s) and be done with it lol. 
PS: one advantage of conducting all sequencing on one device (eg DT controls everything) is that you can have your entire composition on that one device and hence in the same project file. Sort of an advantage if you want to recall everything by loading a single file, but if you organise yourself just a little bit, this should be not all too relevant a point.
PPS: you do know that you can use your DT’s audio tracks to play back/loop waveforms while using the DT’s filter and effects to shape the sound? effectively it’s a form of digital subtractive mono synthesis. And with the right midi cable/setup tricks you could even use multiple audio tracks to make a polyphonic synth out of it. Cool thing, you can resample what you’re playing into the DT and then free up your audio tracks again for other sample duties. If you haven’t tried this yet I recommend you do (just search on YouTube for many tutorials on this).
