Well that was fun.
I just tried to watch a movie directly from a new exFAT-formatted SanDisk 512GB Ultra Dual Drive Luxe with Infuse. Playback worked great. Then I stopped playback, force closed the app and waited a minute before unplugging the flash drive.
Alas, when I plugged the flash drive back to a Windows 7 desktop, it says the flash drive had errors. I ran disk check, it said there was no problem but I couldn't copy anything to the drive. Tried to reformat several times and that failed, too. I then tried using Mini-Tool Partition Wizard to rebuild the MBR then reformat and that seems to have done the trick. Flash drive appears to be working properly again.
Apple seriously needs to fix exFAT support on iPadOS.