The only way I have been able to refer to cells on another sheet is to name them ... the easiest way (assuming your want to validate as being in a list) being to:
1. put the initial range on the sheet you are applying the validation on
2. name the range
3. create the validation (excel picks up the range and puts it into the validation rule)
4. when that is working cut the range and paste it into another sheet.
Then you can amend the range as required and the validation works.
Sorry if that was a bit long winded but it once you have done it once or twice it becomes 2nd nature (almost)