Hi, our scenario is like this: if a user register, we need to have the user created on an external system too, not just on Auth0. Would it be a good practice to use pre-registration action to create the user on external system first? The idea is that we can prevent the registration on Auth0 if the creation of user on external system fails.
Yes, this seems like a valid use case of Post Registration Action.
We want to prevent user register on Auth0 if user creation on external system fails. The Post Registration Action is asyn as I understand, so it will create the user on Auth0 regardless, do you have a suggestion for this case? 
If you would not like the user to be created, Pre User Registration Action would be the right choice for you.
You could use api.access.deny(LOG_MESSAGE, USER_MESSAGE); to prevent the user creation on Auth0. 