Official comment
WAV is a higher quality and uncompressed file format which requires less processing to create than an MP3.
If you have converted it to MP3 and there is a copy protection enabled, it would be whatever software you used to convert the file from WAV to MP3 that made that happen.
If the SD is telling you it's write-protected, check the tab on the side of the SD card itself. If it's the USB drive, it could be a format you can't write to from that operating system (eg. can't write to NFTS from a Mac).