The Native Embassy allows native warriors to be trained closer to the frontline, and at a location that a player desires, rather than the random locations of map-specific settlements.
Note that if the Trading Post on an allied settlement is destroyed, access to that settlement's native warrior will be lost.
Establishing an embassy is more than simply erecting a building. An embassy represents one civilization or country formally respecting and acknowledging the legitimacy of another. Embassies serve as powerful symbols in the overall context of how societies conduct business, trade, and sometimes war.