Time Machine Excluding External Volumes?

The following threads discuss backing up external volumes using Time Machine.
https://discussions.apple.com/thread/5316613?start=30&tstart=0
https://discussions.apple.com/message/16591548#16591548
https://discussions.apple.com/message/6785149?searchText=Time%20Machine%20Exclud ing%20External%20Volumes#6785149
So apparently TM can backup external volumes but I have not been able to do so. 
I've been experimenting with TM to backup external drives.  It will not backup my external drive, even when I remove it from the exclusion list.  It automatically re-added it to the exclusion list even though I explicitly removed it from that list.
My test:
- I plugged in a 1 GB thumb drive and formatted it as Mac OS Extended (journaled). 
- I put some new files on it with unique filenames for a test. 
- I told TM to run backups (several ones in sequence). 
- I opened the thumb-drive volume then entered TM.  TM showed only the current state with no backups.
I opened Preferences > Time Machine > Options…  It listed the thumb drive as excluded.  So I removed the exclusion.
I unmounted the thumb drive, mounted it again and repeated the experiment.  Same result.  It appeared in the exclusion list again.
What gives?  How do I tell TM to backup external volumes (or not to exclude doing so)?

Yep.  Read that before posting.
Also found https://discussions.apple.com/message/20711519#20711519
where Linc Davis says
External drives are automatically added to the Time Machine exclusion list. To back them up, remove them from the list. Volumes on the backup drive itself are automatically excluded, and you can't change that.
There is no reason why you shouldn't back up multiple volumes in Time Machine.
I did remove it from the exclusions list but TM added it back.  What now?

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