I know that doesn't really helps, but this is an expected behavior described on page 34 of FileMaker WebDirect Guide that states :
Using external FileMaker data sources in FileMaker WebDirect
To access external FileMaker data sources in FileMaker WebDirect, all referenced database files must be hosted on the same FileMaker Server deployment as the FileMaker WebDirect solution.
My boss was at the Filemaker DevCon last year in the US and he presented this issue to one of the Filemaker team members who told him it should work. And that we should report an issue if it doesn't.
I guess I should have read that first.