If you want performance use EXT4. If you want compatibility with Windows use NTFS. If you want compatibility with Win+Mac use exFAT. There is no filesystem that gives performance AND compatibility but all are "good enough" for use in a mediacentre box. Best practice is "plug it in and it just works" as there is no need to muck about with mount points or anything else.
To clarify 'chewitt's statement based on my experience this week, you will have to input the file path to the new 'recordings' folder and give it the correct permissions. When I did not have the permissions set correctly it would record about five seconds and stop, now the permissions are set correctly it performs flawlessly onto a 1TB M.2 SATA WD stick in an external case, in my case formatted to NTSF.