Official comment
1) exFAT can't be read by rekordbox; the drives must be formatted to FAT32 or HFS+ with an MBR boot record.
2) rekordbox doesn't "destroy" drives, but if the drive was still in use by rekordbox (or another application) when you removed it, you run the risk of damaging the data on the drive by way of a file that did not write-out before removal, or the master file allocation table. In that case, reformatting is the easiest procedure.