Hello,
We are sorry for this return, but we are afraid that we don't follow your idea, let's explain why :
"to import a CSV file with some links to images on an external site"
And in your message :
"When i set Store images locally = No and import the CSV file imports with no errors."
=> If you try to create a CSV (coded data) from your website WITH the option Store images locally option to "Yes" and from image stored externally the error return is quite normal, and note that the CSV creation process can't detect where the image are stored and that's why precisely you have this option.
Can you details your idea, and what astonished you from the CSV way to process please, awaiting news from you to guide you more precisely.
Regards