I’ve looked into it a lot, and while it would arguably be better to have it in an external file, it doesn’t make that huge of a difference.
Since that CSS is generated by your options in the Customizer, they can’t be written to an external file without some hacky PHP, which would hurt performance more than help it.
If I ever find an efficient way to write it to a file, I’ll be all over it.
However, you can use a plugin like Autoptimize which will move all of that CSS into an external file.
That’s what I suggest here: https://generatepress.com/fastest-wordpress-theme
Let me know if you need more info 🙂