Specifically, I am long-formatting to ExFAT.
Is this filling my external HDD with zeros?
If not, how can I do this with a 230GB SATA hard drive in an external USB caddy?
If you're running Windows Vista or newer, then yes.
That KB article details the changes with the format command starting with Vista, a long format now writes zeros to the entire drive. Previous versions did a read only check of every sector.
For Windows XP, No, the "long" or "regular" format is just checking the sectors for consistency. When the files get erased, only the file tables are erased. The files remains are still recoverable with unerase file utilities. Here's Microsoft's explanation. What you want to use is a utility that performs a "kill disk". One good tool that has a 1 pass freeware version is Active@, but there are many others if you do a search. (1 pass means it writes 0's to each sector making those file remains.) Writing over USB to a 230gb drive will take many hours and is an overnight task.