Powering Arduino board via USB and external supply

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This would not be advisable.

Why would you?

But know im asking myself if this is correct or not. And if not, what could happen.

If you turn off your computer, with the external +5V power supply connected to the Arduino, you back-feed the computer through the USB. The external supply may fail and could damage the PC.

Don't do it.
OR
Learn from experience.

.

When you are powering your servo with an external supply, all you need to do is connect the grounds, not the +5 volt levels.

can i also connect a servo or any other load to the same 5v and GND pin to power it ?

Maybe it depends on the current of the load and if it generates interference.

And when i play with the arduino, with servos for example, i have the servos connected to the power supply, but also the arduino so that i can disconnect the USB from it after uploading the sketch to keep it running.

Why do you want to do that? Just apply the power and the program runs, there is no need to upload it again unless you want to change it.

No the 5V is connected to the power supply of the circuit. You can draw current from it or you can put power into it if there is no power from elsewhere. The monitoring only applies to the barel jack and the Vin pin.
The 40mA only applies to an arduino processor pin when it is sourcing or sinking current. It does not apply to the 5V or the ground.

It doesn't apply to the Pro-Mini because the Pro-Mini doesn't have a USB connector.
Re-read my explanation. The needs to have some method to choose which power input is used for the board. The method designed into it is a circuit that monitors the dc barreljack input. If the voltage there (same as Vin) is more than 2 x 3.3V, then the 5V from the USB is disconnected from the board because the onboard regulator is suppying it. If anything LESS than 6.6V is connected to Vin, the 5V from USB connector is allowed to pass to the board.

Read this post for an explanation of the 5V regulator.

Bottom line here is that USB can only supply 500 mA and the onboard regulator (which can ONLY be powered through ext dc barreljack or Vin pin) can supply up to 800 mA.

The Nano has a completely different circuit. It has a different 5V regulator chip, has NO external dc input jack (but does have a Vin pin) and uses an MBR0520 schottky diode (called the "Auto Selector" on the schematic) to prevent voltage from the onboard regulator from feeding back to the VUSB .

Ardunaut:
Last question, what was the diode with the least forward voltage drop, schottky or zener ?

Forward-biased, a zener has a forward voltage like that of any silicon diode, basically. But a zener diode, reverse-biased exhibits a zener voltage characteristic.

It's a schottky.