Yes....your two thumb drives would work with the adapter. No----you don't have to format them ExFat, and recopy the files, unless you have no other choice. There is a utility with a 10 day free trial, Paragon NTFS, which will let your Mac read Windows pre-formatted drives of any kind, be they thumb drives or hard drives. I think 10 days is long enough for you to transfer your files, depending, of course, on how many you have to transfer and their overall size. That I don't know. Then, yes, you will be able to easily transfer them from the thumb drive to to whatever you want on your Mac. I was going to suggest that if you had a lot of files, and lots of space needed, if you had an external hard drive that you used on your Windows 10 PC, you could use that, but, again, I don't really know your situation or what you need.
anyways, good luck to you
john b