At this support article they talk about all the filesystems supported. NTFS is supported, ExFAT is not.
This support article discusses what to do if it doesn't recognize your drive. One possibility is that the Roku can't supply enough power to your drive and it discusses what to do then. If you don't have an external power adapter for the drive, then one option is to attach a powered USB hub to the USB port on the Roku and attach the drive to the powered hub.
I'm not expert so please read the articles too.
Solved: I have 2 new 5Tb drives that myRoku ultra would not recognize so i used a free program (AOMEI partition assistant 9.5) to delete the partition that had the backup software on it and then deleted the the main partition. Then I created a partition using the wholw drive. I formated it and after loading it with mp4 video it recognized and played without any problems (worked for both external drives one is a 5TB and one is a 4TB). It seems as though the backup software that is in a bootable partition was the culprit. Hope this helps anyone else with this problem.
