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If External Links is working it should add the attribute data-wpel-link="external" to all external links. If you don’t see that and the External Links settings are enabled then it might be a cache issue. Try clearing any cache plugin/service you have active.
I cleared the caches of all pages. I then clicked a link and this is the URL d631-ttd/p-110186P2?pid=P00097499&mcid=42383&medium=widget&widgetPreview=false&widget_ref=W-54289f6d-f12a-47c8-be24-194a7cb97b39
Is there a step after I have selected all the rules for it to “run” against all active pages?