...want to be a little less anti-fragile with my investments.
I'm sure this is a typo. Or, maybe you need to re-read Taleb? ;)
Why do you need to open a non-US brokerage, vs. just invest in international stocks? There are many available. Schwab and IB have many foreign exchanges open to their US customers. Also, many foreign brokers won't take US-based customers, because they do not want to comply with US investment regulations.
There are plenty of gotchas.
First of all, get used to commissions again. Even if done on an online brokerage, there are commissions, and they could be significant.
When I moved to Ireland, I was very interested in investing locally, since I had eyes on the local environment. I didn't get much past the commission being
1% of your purchase price! before stopping that research. BTW, the sale commission is, you guessed it, another 1%! That's an outlier, but $50-$100 isn't unheard of.
It didn't help that the capital gains tax rate is 40%, either.
You will always pay foreign income tax on your dividends and profits. Your US broker will take those out before they hand you your money--saving you the effort of figuring it out, including how to file. The only benefit of this, getting to take those taxes off your US taxes, can be spoiled if you buy a foreign stock out of a tax-benefitted account like an IRA.
If you are thinking of buying a fund, there is just one thing to know:
PFIC. Run, run far away. Fortunately, that does not apply to operating companies, so that is a case where investing in stocks beats funds, hands down. Blame the 1% and their offshore havens.