I agree, it shouldn't be so hard and I understand your frustration. In 2021 tech should be much easier.
For me it never worked unless I tried an old 4GB USB 2.0 drive formatted in FAT32. It failed every single time with USB 3.0-3.1 devices, no matter the partition configuration.
I put the extracted files in its main directory without folders or other files, then I unplugged the power cord, plugged in the pendrive and lastly the power cord: with there exact steps it managed to work all the recent times and with the newest update (which has more than 3 files).
I hope you'll end up solving your problems with the Klipsch's USB Drive they are providing!