You can use CondFrmt to determine whether a cell contains a formula that refers to another worksheet. This can be achieved by using function SEARCH to look for an exclamation mark (!) in the cell's formula. First, though, we have to use function FORMULATEXT to convert the formula to text.
DO: Select the column of interest (B in my case). Click on Conditional Formatting | New Rule | Use a formula... and paste this exactly into the Format values where... box: =IFERROR(SEARCH("!",FORMULATEXT(B1)),FALSE) and then click on Format, where you can choose a fill-colour that you like. Click on Ok all the way out.