The preview options when importing, such as Embedded & Sidecar, apply only when you need a quick preview of images in modules other than Develop. When you switch to the Develop module, Lightroom Classic always bypasses the image’s existing preview and re-renders the image from the original raw data, applying the current Develop settings, through its own processing engine.
That means in the Develop module, where you see and edit the rendered raw image, it doesn’t matter which preview option you selected, because the previews are not used in Develop.
When you switch from Develop back out to any other module, then a new preview is built to represent whatever the edit settings were when you exited the Develop module, replacing whatever the initial preview was, including Embedded & Sidecar.
So choosing Embedded & Sidecar at import time shouldn’t cause you any problems when editing the raw image. In fact, for speed reasons, Embedded & Sidecar is the import preview option I like and use.