I have a CXF Webservice that imports external schema files. When I built it; I spent quite a bit of time trying to sort out the exact scenario you're trying to achieve. Unfortunately, it appears that CXF does not respect the @XmlSchema(location="") annotation when generating WSDL from java. Daniel Kulp, the main CXF dev told me at the time this was a known issue but not enough people are complaining about it so it's not high on their list of priorities to fix.
So I ended up writing the WSDL by hand and then generating the SEI from the WSDL file. Of course, if you hand-write the WSDL you can do whatever you want.
Do bear in mind that one side-effect of this is that the external schema file needs to be accessible by an HTTP GET - both while generating the SEI AND when the webservice app starts up - CXF will retrieve the schema file on startup. Same goes for when you generate the client, of course. This does create a bit of a messy architectural dependency; but there appears to be no way to tell CXF "myschema.xsd" is available at http://myurl.com/myschema.xsd but ALSO in /src/main/schema/myschema.xsd.