Official comment
@Sample > Thanks for your feedback.
The choice of music format is entirely up to you, the DJ. Our hardware is constantly changing to accept a wider variety of formats as the generations evolve, and formats become more widespread / standardized. Unfortunately some lower-tier units will not support all file formats due to the cost of using more advanced chipsets to decode and manage the data from those formats. The reason a transcoder has not been included in rekordbox is twofold; one, as you say, would require additional storage space, thereby multiplying the space required to house your music collection - not something all DJs want to have happen. The other reason is if the conversion process occurred on export, it would be time consuming, and with DJs who use low-quality USB drives with low write speeds, they already complain about the amount of time it can take to export. Adding a conversion step to the process would only compound this export time.
As for the history, the player can't store the history of a track played from a different device because it doesn't know if the track on that other device came from the same collection or not. If you want to avoid that problem, play from one device.
And PS: The answer we give to use rekordbox DJ to play all file formats is not lazy, it's a legitimate answer to "how do I do this"? I'm sorry if that doesn't suit your needs, but there are other work-arounds as you noted yourself.