Each format picked one thing to protect and let the rest go.
You plug in a fresh USB drive, Windows asks how you'd like to format it, and then you're staring at a dropdown menu offering three cryptic acronyms: NTFS, FAT32, and exFAT. No explanation. No guidance ...
I've got a Kingston 32GB USB 2.0 stick. I'd like to put on files greater than 4GB and thus need to change it from its default of FAT32 to NTFS. I don't have any problem doing this with USB hard drives ...