Using MyCloud with exFAT to use both mac and windows computers

I’d like both windows and mac computers to be able to mount/read/write my drive and I believe the only way to do that is to format the drive using the exFAT file system.  I don’t want to have to go through the internet/cloud because that is inevitably slower.

First, is it possible to format this drive as exFAT?

Second, are there other ways to do what I want to do?

No, and no need. computers don’t care at all what a NAS file system is, because they don’t access the file system. They access the volume via network protocols.

Just connect to it via a standard Windows network share on the PC, and via SMB or AFP using Finder on the Mac.