mmh that's weird I play all kind of files on my friend's XDJ1000 and I never ran into this issue.
Are your XDJ's firmware up to date?
If I may ask, until what speed of flash drives did you try? I currently use a 200mb/s drive and it works wonderfully well with big files.
Did you try to swap the link cable?
This might be a stupid question, but maybe is there a setting that doesn't allow you to play WAV or AIFFs? I really think there aren't any but I figure I'd ask..
Just trying to push all the buttons and ask all the questions to get to the bottom of this :)