The settings load is a manual process - in the event another DJ is using that CDJ already (eg. in a back-to-back situation), the intent is not that their current preferences would be overridden if you inserted your USB drive into that player.
The best USB formatting, if you only ever plan on using a newer product such as CDJ-3000, XDJ-XZ, or XDJ-RX3 is exFAT as it's cross-platform compatible and has error correction whereas FAT32 does not.
If you need to use a NXS2 or anything older than above, and you're Mac-only, then go with HFS+ (macOS Journaled Extended); it too has error correction.
FAT32 is the worst of the lot and is the fallback.