In general, every USB flash drive will work on PSR-SX if it's formatted on keyboard (or on PC as FAT32). In short, when buying for PSR-SX, you shouldn't have concerns about "compatibility".
When buying USB flash drive, keep in mind, that it will probably not be used only on keyboard -USB flash is universal device. What matters (besides capacity) is speed! Even speed is not really relevant for keyboard (which is very slow at readying content from USB), the speed does matter when you copy content from PC to USB flash. If you're absolutely sure, that USB flash will only be used for keyboard, then every USB stick will do. Btw. I had the flash drive you linked and I have thrown it in the bin just after first try (is true!). Reason? Because it's slow as a snail.
My experience in regard USB flash drives: if you buy cheap, you will end up with ten of them and you will hate them all -because of slow speed.
My advice: buy USB 3.0 flash drive. But that's still not a guarantee that it will actually perform fast. The thing is, for cheaper USB 3.0 sticks, almost all companies (brands actually) are cheating. That is, they usually only specify (impressive) read speed, without telling the write speed (which is many times the same as for USB 2.0).
To keep story short, a good USB 3.0 stick is about 40€ (and above). Yes, is expensive, but you only buy once.
Bogdan