Virtual Server using external site as pool member, routing problem?

As boneyard has said, you configure routes (default or otherwise) 'under' the Networking tab.

You need to consider routing for two things;

• Health Monitors - you'll need to ensure your F5 can reach your Pool Members and that they can respond to the Self IP(s) of the F5. How your routing is setup will determine which interface, VLAN and subnet and thus Self IP is used.
• Clients - you can SNAT, in which case you the same rules as per Health Monitors apply, or not, in which case you need to ensure your Pool Members route back to the client source IPs via the F5 (not directly). This isn't always possible, hence the common recommendation to SNAT.