in the NEXXT folder, there's a folder called defaults. if there isn't one, NEXXT will create one on startup.
In this folder, place your own palette and rename it nes.pal
this is or will be the file NEXXT is looking for when checking the "use external palette" option.
Planned for future versions, there will be a 'system palette browser' that lets you pick system palette without having to do these steps, but that's for some other day.