@chrispeddler I am not able to find Advanced setup using F5, maybe this is a different product, I have Eset Cyber Security v. 6.7.
However, I did find how to disable scanning of external drives. Enter Preferences (Cmd + ,) -> Protection/General -> Exclusions: Setup. There you can add the external drive(s) or subdirs thereof to the exclusion list. I guess this does not exclude new external drives connected but that is ok. I was able to add my TimeMachine dirs to the exclustion list which was my wish from the start.