I don't means a massive pulse, just a brief EMF pulse. Due to die constraints and to keep costs down the protection diodes on a micro controller are as small as possible, which means the size of the diode junction is tiny, a discrete zener's junction is going to be MANY times the size of a micro controllers zener so it's pulse handling ability is going to be at least an order of magnitude higher if not more even though the average power handling is going to be similar because the micro controller's die disipates the average heat. I unfortunatly don't have any numbers to do the math on but I'll hazzard a guess that the discrete zener's junction is at least 10 times the size of the micro controllers zener, which gives it an order of magnitude improved protection from a spike because there's so much more junction area to share the current. The overall power handling of the two is compareable because the rest of the micro controller die will act as a heatsink for the protection diode but that won't protect it from instantanious spike, which will quickly violate junction temperature limits compared to discrete.