My question - do I connect both the internal and external sirens to the same output terminals (3 and 4)?
Yes unless you use a external driver card.
And specifically, what does it mean in the installation manual (2.4) by supervised output and cutting the jumper located above terminals 2 and 3?
This means that the system will detect if the speaker is disabled. You then have to place a 2k ohm resistor across the sounder connection.