I got the external script working, I am just posting the fix as it might be of interest to somebody.
As I am using the basic authentication (haven't been able add a Powershell host using Kerberos) I am restricted to use a local Admin account on the powershell host. When running the external script workflow the script is invoked with the call operator (&). I went to the powershell host and opened a powershell cmd as local Administrator and ran the command as it is passed from vCO:
& "c:\mypath\myscript.ps1" -myparameter XXX
I found that the Connect-VIServer cmdlet was prompting to accept the certificate of the server (I haven't configured the certificates yet) therefore when the script is invoked from vCO it just hangs waiting for user input. I also prompted me to accept the VIServer to the default list, I chose to add it permanently so I am not prompted again.
There should be a more elegant solution like configuring the PowerCLI settings on a user per basis so the script doesn't have to be run manually at least one time to answer the default questions. Anyway, after this procedure vCO can run all the PowerCLI cmdlets without any issues.