I don't use Time Machine but my view is that it is too dangerous for sticks which may be removed - I understand that it may delete previous backups if it discovers that the stick no longer exists.
- manually copy the stick to your main drive from time to time
- use Carbon Copy Cloner to backup the stick
- use a utility to mirror the stick to your main drive
Thanks Neville, I'll think about those other options, except I really don't want to do #1 because I have very little space on my hard drive and there is a very good reason I moved these documents to the USB stick in the first place. But just out of curiousity, I don't really understand how TM "knows" it is a USB stick rather than another USB external hard drive. I mean, another external drive could just as easily be disconnected.