Q: What file format does it record in to the external HDD

It records in *.ts format, native stream format which is supported by VLC and many other players.

Q: How Large of a HDD will Cloud Antenna support? 

We have tested 4TB here, but there is not reason for a limit as then a format. Android is just Linux so it will support a large drive as long as you format the drive appropriately.

Q: Can I unplug the HDD from CloudAntenna and plug into PC and play video directly with VLC Player?  

Yes, you can navigate to recording directory and playback your files.