Disk not ejected properly on my Macbook Pro message when it is

Every time I connect My Passport external drive to my Macbook Pro, I see a popup that says Drive not ejected properly. But I never ejected it. How can I stop this from happening?

This normally happens with exFAT filesystem which is the default on older My Passport Wireless and Wireless Pro. I suggest to format as HSF+ or NTFS and install the Paragan NTFS driver for macOS if you are using the drive on both Windows and macOS