The only way I've found to even access the SD card is in AndExplorer go to the root directory by pressing the "Device" button. From there click on the data folder, it'll be empty so hit the "Go up to folder" and a list of folders should appear. Under that find the folder called 'sdcard-ext'.
The regular SD Card settings actually takes you to a partition on the internal memory of the card. As far as I've heard, there hasn't been a way to change that yet. Maybe someone else reading this can come along and prove me wrong?
Are you downloading through the youtube app or browser? I don't use it, but there may be a setting on the app that lets you specify. Stock browser or alternate? Maybe there is a setting there about location.