To make FAT32 work you need to split the file which is bigger than 5GB into chunks under the file size limit.
However, my BIOS will not boot from a USB flash drive formatted with ExFAT. Some of the solutions to this problem propose using ExFAT instead, as it accepts file sizes above 4GB.
The latest Windows 10 install has a file with 5GB, so if you try to copy the install files to a USB stick, it will fail because one file is over 4GB size. The main reason why it is so hard to create a Windows USB stick from a Mac has to do with file size limits on the FAT32 file system(4 GB). Why is it so hard to create a USB stick to install Windows 10