Hi James,
Are you using Exchange server? There is a built-in function on Exchange server:
MailTip, which could help inform you about external recipients. When you add external recipient, you will see following MailTip:

By default, this MailTip is turned off. You can turn it on using the Set-OrganizationConfig cmdlet.
Set-OrganizationConfig -MailTipsExternalRecipientsTipsEnabled $true
We can also use mail flow rules to restrict the user from sending emails to external users.
As far as I know, Outlook client doesn’t have such an option to highlight external recipients in ‘To’ field. I searched many articles and find that we can use VBA to get a warning about external recipients.
Get a Warning When Sending Emails to the Persons outside Your Company
(Please Note: Since the web site is not hosted by Microsoft, the link may change without notice. Microsoft does not guarantee the accuracy of this information.)
Hope the information is helpful to you.
Regards,
Perry
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