Hello. I’ve always used Yoroi internal addresses to send myself ADA from exchanges. I now understand that internal addresses are meant to hold change ADA remaining from an UTXO and should not be used in this manner.
However, everything seems to work as intended, meaning my ADA is automatically delegated and so on, and I never had a problem operating this way.
Should I be worried that I used those internal addresses in exchanges to send myself ADA? Should I make a transaction to send all my ADA to my wallet’s external address?
Nothing to worry about. And no reason to send to another address.
As you already found out, all the addresses are part of your stake (the stake address in the second half of the addresses minus the checksum in the last six characters is the same for all of them) and of your wallet (Yoroi can derive the keys to spend them).
And because of the stake address encoded in all of them, there is also no privacy argument anymore (that Yoroi nevertheless still claims in its help texts). Everybody can see on the chain that they all belong to the same stake. If you search your stake address on cardanoscan.io, you will see all your addresses from external as well as internal key chain.
In fact, a lot of wallet apps now use single address mode and only use the first of the external addresses for everything.