Is the USB stick plugged into the back of the My Cloud? Or is it plugged into your Windows 10 computer?
Are you using Windows File Explorer to copy the file from the My Cloud to the USB stick?
You shouldn’t have any problems copying files to the USB stick provided it is in a format the computer and or My Cloud can read/write too and isn’t some how write protected (locked).
While the following link may not help in your case it contains various steps to try when having problems with Windows 10 and the My Cloud.
https://community.wd.com/t/compilation-of-windows-10-methods-steps-and-solutions/142576
