If you’re going to be exclusively Linux then you’ll want ext4 or xfs filesystem.
when you’re mixing operating systems, especially anything Windows with Linux, you must account for all the deficiencies inherent to Windows and its single-user per machine premise.
I’ve written a how-to which will show you how to deal with the majority of those limitations as they relate to Plex.
ExFAT was a licensed filesystem. If it still is for you then you’ll need to install that driver separately. dpkg -l | grep -i exfat
will tell you if the exfat filesystem driver is installed.