All perfect praise be to Allaah, The Lord of the worlds. I testify that there is none worthy of worship except Allaah and that Muhammad is His slave and Messenger.
What you mentioned about Abu Haneefah and Maalik, that it is a condition for the muhsan (i.e. an adult, free who has previously enjoyed legitimate sexual relations in matrimony regardless of whether or not the marriage still exists) to be a Muslim, is correct. Al-Bahr Ar-Raa’iq, authored by Ibn Nujaym, says about the conditions of ihsaan (being a muhsan), “Ihsaan from stoning to death: freedom (not to be a slave), reaching puberty, Islam, and having had intercourse in a valid marriage ... but not a non-Muslim, pursuant to the hadeeth that reads, 'Whoever commits shirk (associates partners with Allaah) is not considered a muhsan; and the Prophet's stoning of the two Jews was according to the ruling of the Torah before the revelation of the verse of stoning, and then it was abrogated.'”
His statement included their evidence in this and refuted the hadeeth that you pointed to.
At-Taaj wal-Ikleel authored by Al-Mawwaaq Al-Maaliki reads, “Maalik said, 'The hadd (i.e. the corporal punishment determined by the Islamic Law) is not applied to a non-Muslim in adultery; rather, he is referred to the people of his religion, and he is punished if he declares it [i.e. if he discloses his sin].”
Ash-Sharh Al-Kabeer by Ad-Dardeer from the Maaliki School of jurisprudence reads, “It is a condition in all: to have reached puberty and to be a Muslim; so the hadd is not applied on a boy, or a mad person, or a non-Muslim; them having illegal sexual intercourse is not Islamically called Zina (fornication or adultery)…”
The issue is a matter of difference of opinion; some scholars hold the view that the hadd for zina should be applied on a Thimmi (a non-Muslim living under the protection of the Muslim state); in any case, under Islamic rule, the matter depends on the Muslim ruler or his deputy, as his ruling removes disputes in matters of ijtihaad (a juristic opinion on matters that are not specified in the Quran or the Sunnah).
Allaah knows best.