The only program that mentioned this was Cornell, where they do have a formal short track program but allow people to pursue fellowship at outside programs. This was mentioned by the leadership of this track there--and when we asked whether this was viewed negatively, they said they would support their resident's decision regardless of where they did their fellowship.
I interviewed at several short track programs around the country, and also at places that would let you do a 2 year residency even without a formal short track. I asked at every program about fellowships, and all programs said that they would support any decision to go elsewhere for fellowship. They said that they would love to keep short trackers at the same institution, so they could be in line for a possible faculty position. I was told that if it influenced my decision about residency (if I liked another fellowship elsewhere better, but liked their residency the best, if I didn't like the city after a few years, etc), they would help you get a fellowship somewhere else. Penn even said they would fund research with another faculty member at a completely different institution, so you would do your residency, and fellowship and research could be done at a completely different institution, and Penn would still fund you. They said their interest in this was that you might always stay affiliated with your residency school in some way. As a side note, at some schools, they would not guarantee a fellowship to everyone in the PSTP.