Anything stored in downloaded_images can be moved. You'd have to make the xml files point to the new path is all. I don't know what the scraper your using is capable of as far as configuring this. I have suspicions that video previews on USB drive would be slow to load, only one way to find out though...

You saw my disk space, the reason I don't have video snaps on that 777GB collection is that it would take nearly as much space as the rom collection itself.

with the Parse Games List ON, in order for a ROM to be seen in RetroPie it needs to be scraped.

Correct(though there are other ways to populate roms into xml data, manually for one example) also, deleted roms will continue to list in EmulationStation because the xml data is still there.

video previews is ON, this video data will come along with the scrape, and will be stored on the SD, so even a few KB Atari game could potentially be dozens of MBs due to the extraneous flair.

Yep, video previews are massive storage sinks for a collection of any size.

1000+ PS1 ISOs hunting down a larger SD

If your rom collection is anything like the size I suspect(similar to mine), your not gonna find an AD card big enough for all the video previews. Like I mentioned, my collection is 777GB and previews for all were gonna be a few hundred GB....