I want to transfer my domain from external domain server to my webhosting's domain server.
is there any benefit?
Frankly, the web hosting companies that I've dealt with (on behalf of our customers) weren't very good with DNS. My recommendation would be to move your DNS to a company that specializes in DNS, like DynDNS or the registar that the domain was registered with, if it was one of the major registrars like Network Solutions, GoDaddy, etc.
Not on a technical level. There may be a business advantage depending upon the incentives offered by the registrar's hosting.