Samsung T5 SSD - Shall I reformat to HFS?

I just bought my first external SSD for my MacBook Pro Retina running High Sierra.

This 500 GB drive comes formatted in exFAT.

Isn't this a windows format and not optimal for the Mac?

Should I reformat to HFS?

So far I always reformatted my G-Tech spinning disk external hard drive to OS journaled.

I'd appreciate tips on how to properly format an SSD using Disc Utilities if it is a good thing to do to work better with my Mac.

Thanks!

PS: The manual says when the T5 is plugged in there should be a blue LED on.

The drive mounted on my desktop, but there is no blue LED on.