Rolf, A while back I had the same problem. I use a 32gb stick for all my files, registrations, midi files etc, and when I started to record it would not take it. I'm not a techie, but I've been told that the speed for recording directly to a stick that has a lot of data is problematic. I'm using a dedicated 2gb stick for all my recordings and then transfer to my 32gb one. Just as you have experienced it is working well. To speed up I have a short USB cable plugged in my PSR S950 that can receive 2 sticks and so I transfer through the keyboard. Hope this helps.
Good Luck,
Gerry