I bought a 64GB microSD card and it was exfat-formatted from the factory. As per http://www.ntfs.com/exfat-filename-dentry.htm , exfat has similar filename restrictions to other FAT filesystems: no ", *, /, :, <, >, ?, \ or |.

Rhythmbox has code to sanitize filenames when transferring to FAT-ish filesystems, but there's a particular problem with exfat at present. There's no blessed in-kernel exfat implementation, the most commonly used one is fuse-exfat, a FUSE implementation. Rhythmbox calls glib which then uses statfs(2) to determine the filesystem type of the target device, and moch says it's not really practical to fix things anywhere in that stack to detect the correct type for FUSE filesystems. So we can't really properly detect exfat mounts and know that we need to sanitize filenames for them, at least until there's an in-kernel exfat implementation, and that may not happen soon or ever.

So, moch suggests instead:

<moch>  rb probably needs to try sanitising filenames for fat-like filesystems when it gets told it can't create a file

i.e., if file creation fails when transferring to a device, try again with a FAT-sanitized filename. Bit inelegant, but it seems like a sane approach, I can't think of a case where it would cause problems.