Using CAML Queries is the only supported way to query external lists. It comes in very handy If you want to retrieve external data within a sandboxed application, without using a full-trust proxy. However using CAML Queries with external lists comes with some gotchas. Consider the following snippet :
SPQuery query = new SPQuery(); query.Query = "<Method Name='ReadList' />" +"<OrderBy><FieldRef Name=\"CustomerID\"/></OrderBy>" +"<RowLimit Paged=\"TRUE\">10</RowLimit>" +"<Aggregations Value=\"Off\"/>";
SPListItemCollection items = lstCustomers.GetItems(query);
Unfortunately, this query just ignores the RowLimit and returns all the data from the external data source and not only the first 10 items as specified in the query. This is a known issue!
For more information :