Actually not just exterior wet locations, but any wet location that is above grade.The NEC considers the inside of a raceway in a exterior location to be a wet location.
However if you are using the 2011 or earlier code and the control cable is covered by Article 725, that does not apply based on 725.3. That has been corrected by the addition of 725.3(L) in the 2014 code.300.9 Raceways in Wet Locations Above grade
Where raceways are installed in wet locations above grade, the interior of these raceways shall be considered to be a wet location.
Insulated conductors and cables installed in raceways in wet locations abovegrade shall comply with 310.10(C).