The SPD-SX will display "UNSUPPORTED FORMAT" if you attempt to import an audio file that isn't compatible.
The SPD-SX can import .WAV or AIFF files that are 16-bit with a sample rate of 44.1kHz.
Make sure you transfer them to the "root directory" - (Do not place them into any folders that may be on the flash drive). Note: Only 16bit/ 44.1kHz .WAV files can be imported into the SPD-SX.
Audio that was purchased from an online music store such as Amazon or iTunes, or ripped from a CD, are usually MP3 (compressed) or m4a audio files and will not import into the SPD-SX. You can use iTunes, Windows Media Player, Audacity or other free programs available on the internet to convert these files to .WAV. Refer to your program's documentation on how to perform this conversion.
If you're sure you have a 16-bit .WAV or AIFF file at a 44.1kHz sample rate, and it still won't import into the SPD-SX, then the file may have embedded metadata, or "tags," that are causing the error. This can happen with files that come from DAWs ("Digital Audio Workstations"), other audio programs, or sample libraries. You can strip this extra information from the file by converting it to Apple Lossless or FLAC format. After converting to Apple Lossless or FLAC, convert that file back to WAV or AIFF, 16-bit and 44.1kHz.
iTunes can be used for these conversions:
https://www.roland.com/us/support/knowledge_base/201977529/