I should note one thing however.
However, I should note one thing.
There is one thing I should note, however.
However, there is one thing I should note.
The word though or however can introduce or conclude the remark.
With There is we have existential there is standing in place of the extraposed or displaced subject one thing.
Normally in speech, the word is gets emphasized in such a construction punctuated by however at the end or introduced by however:
There IS one thing I should note, however.
However, there IS one thing I should note.
An alternative form of emphasis is:
There is ONE thing I should note, however.
making the existential + extraposition construction a way for the speaker to draw the listener's attention to the fact that one thing needs to be noted which has yet to be noted and is about to be noted. It is a (second-nature) attention-getting strategy. It doesn't really rise to the level of a consciously chosen rhetorical patterning.
One thing I should note, though.
does not provide as many opportunities for an alerting and yet naturally placed vocal stress. One might say:
One thing I SHOULD note, though.