From a PSA coming from reddit.com by a user named TheReverend210 the Following
I’ve read a lot of posts with people saying “plug your external HDD into a laptop and format to exFAT” and whatnot, whereas with a bit of digging around in the menu’s I found the PS4 will do this for you.
Simply go to Settings->Devices->External Storage->Format to External Storage. Took a couple of seconds to format mine from NTFS to a format appropriate for external storage.
Then he goes on to say
Apologies, it’s Settings->Devices->USB Storage Devices, then select the drive and the “stop using this storage” button SHOULD be “format to extended storage”
It seems, by utilising the options button, you can choose to format as exFAT or Extended Storage.