You need Fat32 on your external SD for CWM
I ran into the same problem with CWM. It would not backup to my EXTSD because of the way it was formatted. There is a program called FAT32FORMAT that you can use to reformat the SD card, but you have to do it on your PC (not your phone.)
1) Pull the SD card and put it in your PC (worked with Win7)
2) Copy ALL the data from SD to a temp folder on PC
3) Reformat the SD card to FAT32 (cannot be undone)
4) Copy all data back from temp folder to SD card
5) Put SD Card back in phone and now CWM WILL mount the SD card and do backup.
Didn't lose any space or seem to affect anything else....