Innuos said that if backup works with their own Sense software, it should also work with Roon. And yes, backup with their software worked fine, external hard drive was detected immediately.
Changes
Fixed an issue that would cause external storage locations to disappear on some cores
According to this recent release note, it seems that I am not the only one having trouble with external hard drives not detected by Roon. However, this update did not solve my problem.