It's not something which we've tried afaik, so I can't say if it's supposed to work or not. In general, JCR operations support for federated/external nodes is limited really because there are a lot of constraints when dealing with those.
In the case of reference properties, I would say off the top of my head that as long the internal node identifier is correctly (and fully) stored on the ref property, then they should work. Semantically I think that only WEAK and perhaps SIMPLE references make sense because HARD references would impose a referential integrity constraint on nodes which don't belong to the repository.
So as long as you create the reference property via the ReferenceValueFactory (or ModeShape's ValueFactory extension), it should be able to resolve external nodes. If it doesn't and you can provide a test case which exposes this, please log a JIRA. Thanks.