Official comment
Hey Milco,
It's certainly still available... but if you're on a Mac and never plan on using that drive with a PC, using HFS+ is not only more reliable, but also faster for exports from rekordbox.

Hello everyone, I have read in various posts the compatibility difficulty to update the firmware of the XDJ-XZ as it should be formatted in MBR master boot recording mode, I have tried several times but it is impossible, I contacted San disk customer support and they replied that in the latest Catalina 10.15.7 update, this option is no longer available. I ask you how to remedy this lack or if it is okay to format the key in ms dos - fat 32 may be sufficient to be able to update the firmware. Thank you all.
Hey Milco,
It's certainly still available... but if you're on a Mac and never plan on using that drive with a PC, using HFS+ is not only more reliable, but also faster for exports from rekordbox.

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@Pulse, Thank you for your message, but whether my Imac or Mac book pro both updated to version 10.15.7 does not give me the possibility under SCHEMA to format the usb stick in MBR, I don't know if previously, the first Once I have formatted both USBs I have already done this step but now that I am trying it is not possible to do .... I ask you ...... Will I be able to update the XDJ-XZ firmware without having problems? ??
@Milco > If you don't have the VIEW set to show connected devices and not just the mounted drive / partition, that may not be an option. Be sure you're formatting the DEVICE.
Once it's FAT32 with MBR, and you've unzipped the update file to the root of the USB drive, then yes, it should work (unless you've possibly downloaded it with Safari, in which case it could have accidentally corrupted the firmware file when it automatically unzipped it).