What I'd like to do is set up search federation with Bing, only when the scope "External Search" is selected, but can't seem to figure out if this is possible. Is this?
If I understood you correctly, you are looking for Bing Search Connector.
If not then you might be looking for this tutorial for setting federated search with search scope as bing.
Hope it helps.
Since you said
So I thought you might want to setup bing as federated search, anyway back to what you want, I don't think its possible as literally you want a search scope as "Bing" that users can use to search, but for creating a search scope you need a content source now you can give external websites as content source to your crawler to crawl & index so that users can search it later on, I hope you understand what I tried to tell you :).
Whoever down-voted me please give explanation and correct me where am wrong.