There is more to the issue besides lightning (though lightning is a *really* good thing to consider).
There are a number of things that can cause a difference of potential between two systems, especially if the two systems are in different buildings.
There are also possible environmental issues for external copper, even if it's going to two locations in the same building (even a house). They range from the blatently obvious (like lightning), to the unlikely-but-possible (like having a power line drop across it), the the ridiculous-but-possible (remember all the talk about folks putting straight pins through someone's CB antenna coax?).
One of the less-than-obvious dangers (to the equipment anyway) is static. If the cable is exposed to a dry & windy environment (like winter or desert areas), the wind can charge the cabling with static ... static is a very bad thing for semiconductors. Extreme static charges can be present (in the form of a traveling ion charge) as active clouds (like developing T-storms) pass. If your cabling happens to be a good discharge path (like, through your PC or switch/hub) for the traveling charge, your equipment gets whacked.
Other obscure possibilities include people eavesdropping (the vertical copper acts as a radiating element, expecially if improperly terminated). The Tempest specification was developed because someone figured out that CRTs (used to) radiate like a mother, and that energy could be intercepted, "decoded," and remotely viewed. (Tempest is pretty much a dead issue these days, but the principle is similar). Some neighbors are ignorant enough to try splicing into the cabling....ya just never know...
Differences of potential and discharge paths are the nuts & bolts of why it the use of UTP (really, any copper) outdoors is a bad thing; even if it's buried, even if it's in conduit. The "entrance protection" elements are there (should be there) to shunt potentially dangerous surges / currents / voltages into a safe discharge path.
FWIW
Scott