exFAT is the recommended format for external storage on ROCK. It causes the least issues.
ROCK also supports Window’s NTFS, macOS’s HFS(+), Linux’s ext4, and probably whatever others the Linux kernel supports. However, there can be issues with NTFS at least if it’s not cleanly unmounted, HFS(+) can’t be written, NTFS/HFS/ext4 cannot easily be accessed when connecting the drive to Mac/Win, and so on. Use exFAT.
Personally, I would continue to use a NAS (RAID or not) as backup for locally-attached drives to your ROCK. I see no advantage to having your Watched Folders on a NAS, a) because there are more things to go wrong and b) because if you have a NAS, then you need to have a Backup strategy in place for the NAS (RAID is not Backup).