I have always formatted it on a Windows PC as exFAT. But I do believe formatting on the box would also be exFAT in the latest version of Android on buzz boxes. But you if you format on box, make sure to format as "portable storage" not "internal storage". Internal Storage (aka adopted storage) was a nice concept ages ago, but when it fails, it pretty much forces you to reformat the media box, instead or just losing your recordings.
Also, while you have it on the PC, check on the WD web site to see if they have (or need) any firmware updates. It's obviously easier to do on a PC, instead of once it is installed on an android box.