The difference between a managed dataset and an external dataset can be found here: https://doc.dataiku.com/dss/latest/concepts/index.html#managed-and-external-datasets
So, if you create a dataset by connecting to an already existing data source, that is called "a external dataset", and since it was not created by Datiku, it would be dangerous to delete those when deleting the project, as those data sources do not belong in principle to DSS.
On the other hand, if the dataset is created by Dataiku, and the data is stored in a database or file system, independently if it the storing is local to your machine or in a different server, then this is a "managed dataset", and those are deleted provided that when Deleting the project you check that option.
External vs managed in this context doesn't mean if the data source or data storage is local to your machine or if it lives in a different "external" server, but it has to do with whom created the dataset.
Hope this helps!