Trying to set an external Bootcamp drive as the Startup Disk
There are a few things you can try to resolve the exact issue in your question.

Reset NVRAM

Older Macs had what's called Parameter RAM (PRAM), newer Macs use Non-Volatile Random-Access Memory (NVRAM). It may be worth you resetting this. Here’s how to:


Shut down your machine. Yes, a full shut down, not just logging out.
Press the power button and then press the commandoptionpr keys. You have to make sure you press these keys before the gray screen appears or it won’t work.
Hold those keys down until your Mac reboots again and you here the startup chime.
Let go of the keys and let your Mac reboot normally.


Note: When you log back in you may need to readjust some of your system preferences (e.g. speaker volume, screen resolution, startup disk selection, time zone information, etc).

Once you boot in, go to System Preferences > Startup Disk and check to see if you can now select your Windows Bootcamp volume as your startup disk. If you still can't, try the step below.

Use the SDM to change your default Startup Disk

Another way you can select your default startup disk is to use the Startup Disk Manager. Follow these steps:


Shut down your Mac
Switch it on again and immediately press and hold the option key
Release the key when your bootable volumes start appearing
Press and hold the control key while you select your Windows Bootcamp volume


Once you've done this, your Windows Bootcamp volume should be the default startup disk. If you still can't, try the step below.

Use the Windows Boot Camp Control Panel

You can also try using the Windows Boot Camp Control Panel instead. Use these steps:


Boot into Windows 
View the Control Panel
Select the Boot Camp Control Panel
Select the Startup Disk tab
Select the Windows volume as your default startup disk


Once you've done this, your Windows Bootcamp volume should be the default startup disk. If you still can't, see other options below.

Other options

Another couple of options are:


Trying rEFInd
Using Terminal to set your Startup Disk (if you're comfortable doing so)