Start from external disk only if connected to iMac I have Windows installed in external SSD; I can choose to start Windows 10 if I press option key and selected that external SSD.

Some days ago I was able to start Windows without having to select the drive, just by having the drive connected before switching on the iMac. If not connected macOS was started. This was very convenient.

Somehow the setting disappeared and I do not know how to bring it back.
Holding down the option key will involve the Startup Manager. If you hold down the control key before making your selection, then your selection will become the default. This works for both internally and externally installed operating systems.

If Windows on the external drive is the default and the external drive is not connected, then the firmware will search for another operating system to boot. The preference is to boot macOS on an internal drive.