Does /e/ say that … or does it “only” want to format the card it sees for the first time?
If the latter … /e/ wanted to format my card, too, and my card was not exFAT formatted. I think the Fairphone 3 stock OS wanted to do that, too, but I don’t know if I remember that correctly, I didn’t take notes then.
Explicitly missing exFAT support would surprise me, as I found LineageOS on the Fairphone 2 would support exFAT.
But it’s of little use if Android insisted on formatting and wouldn’t let you choose the file system.