Great automatic sitemap generator. In our site we have an external link which is a photographic gallery site in the U.S. (Pickpic). It is a theme menu choice and it shells out to a completely different URL. The sitemap always includes this URL and Google picks it up as an error in the sitemap (big red cross) with the info - URL not allowed. This url is not allowed for a Sitemap at this location.
I tried the Exclude Posts option (and was getting frustrated because the URL I typed in never 'stuck') until I realised that the exclusion was only for pages/posts in this particular WordPress site. :(
So it would be good for Google XML Sitemaps to have an option to exclude external URL's. And if there is one that I am not seeing... my apologies for wasting your time in reading this.