I wouldn't mind converting the external SSD to APFS (if I can do this without losing data).
Boot into Recovery, select the Drive, then check the Edit menu for "Convert to APFS." I imagine it will be grayed out because the drive may be using the wrong partition map (table).
Why, when I selected the external SSD did it not give me the option to format as APFS? It arrive as a ex-FAT format.
Most are either NTFS or ExFAT, but the partition table is Master Boot Record (MBR). You cannot put APFS, CoreStorage, or any Mac encryption on an MBR drive. That all requires a GUID Partition Table (GPT). Also, by default, Disk Utility only shows you the usable Volumes on the drive, not the entire drive. You have to choose "Show All Devices" from the View button in the Toolbar.
There, you can select the device and erase it completely, changing the Partition Map when you erase. You can pick a Partition Map and a Format.
In Disk Utility, change to Show All Devices, select the device (make, model, S/N) and look at what is set for the Partition Map.
Is there any way to change the the Mac OS Extended to APFS without wiping out the contents? That is what Apple did to my internal drive when it upgraded to APFS.
Not on a drive formatted with an MBR partition table. Your internal drive was formatted with a GUID partition table. While Windows can use GPT, most drive manufacturers do not use it when they format the drive at the factory. They use MBR, instead.
'Select GUID partition Table' [whatever this is - when / where do I find this?]
See above.