I strongly advice against microSD cards because they will get lost. They're just too tiny.
There are external SSDs which weigh not much, 50g maybe 100g, I think this is not much weight. Of course you need a way to attach the drive to the camcorder or rig, adding a bit more weight. When filming hand-held, the additional weight and a different center of weight might be an issue which plays a larger role.
Since you mention data loss with USB: this can actually happen at any time with any technology. I've heard people having such a problem with SD cards too and experienced it myself. SD cards don't naturally perform better than USB drives here, because the interface and storage technology is not the problem. The camera's operating system is causing these write errors, especially when using an improper file system. Therefore, using SD cards does not automatically protect you from errors.
Whether you lose access to all data or just the last written file depends largely on the file system, for mass-market cameras they usually use inferior file systems, like the out-dated FAT32. Hence, the fear to lose all data due to one write error is not unrealistic.
Keep an eye on write speed and general compatibility. The camcorder's manual should contain all relevant information. SD cards need to be fast enough to store raw data. SSDs can be faster, but not faster then the USB connection, and camcorder capabilities allow.
High-end cameras use PCI Express as an interface to the SSD for this reason or have proprietary systems. CFast cards are used too. I consider all these high-end systems to be better than the ones you mentioned, but it will be useless to think about it this way if you don't have a camera which could make use of these. You first should ask yourself what exactly you will film, what requirements result, and finally what gear fulfills the requirements.
It's not helpful to find out what's the best storage solution in existance, if it's over the budget and a simpler solution would work for your case too. If you want to film scenes that are unique or cannot be easily repeated and the budget is low, just try to buy/rent a 2nd camera and run both at the same time for the critical scenes. This way you're not only protected against storage failures but also against any camera failures, because it's highly unlikely that both cameras fail at the same time. Have a laptop on the set to create file backups as needed.