I found an issue ( problems connecting to External Lists on sub sites ) while testing my BDC Connector for Visio and have since released a new version of the add-in and the data module that resolves the issue.

Please refer to the original article for the latest version of the download.

http://blogs.msdn.com/b/chhopkin/archive/2011/01/24/extending-data-linking-to-external-lists-in-visio-2010-and-visio-services.aspx