exFAT is a replacement for FAT32... its what Flash Drives (thumb drives) are formatted to normally. Make sure there is no COPY PROTECTION software involved with the drive (that can prevent music devices from writing to them).
We don't really do computer geek stuff here too much - but i can refer you to some reading material:
I don't know anything about your drive or what size it is even, but my best guess is it is way too big... I can continue to guess, or you can provide some info, that way we don't have to send you hunting for the answers yourself. When external Hard Drives don't work it is usually because they are too, too big... or they have COPY PROTECTION software that interferes with the Keyboard using the drive.
A keyboard does not like to look into a big blank area mulitple Terrabytes in size (that's more music data than you'll probably make in a lifetime if you recorded every minute of the day).
Most people use smaller drives (Flash Drives) 2GB, 8GB, 16GB, 32GB...