Filesystem for external USB drive + encryption?

Hey,

I currently have some thoughts about the possibility of using a big external USB SSD as storage device. In my Situation it need to live in both worlds, my main work laptop (Ubuntu based dis.) and on a random desktop with Win11.

Filesystem wise I`m currently thinking of choosing exFAT because of the simplicity of the FS. Another option would be NTFS and just mount it in Linux, but 2/3 of the time I will use it on my Linux system. So any downside here?

Data is mostly some Media stuff and ML Stuff I experimenting with, so could be very large files (llm models).

Is there any downside on using exFAT like reliability? Most sources state that exFAT was developed for mobile media like SD Cards and USB Sticks. In my case it will be a 2TB SSD :p On the other Hand how is the recent implementation of NTFS into Linux?

And the final thoughts is about Encryption; This seems unfortunately the actual issue, I want to have a partition on the drive which is encrypted somehow but can be mounted in both worlds. Is there a easy way to mount a LUKS on Windows? Or alternatives which lives in both worlds?

I do not need military grade ultra encryption, there are no state or company secrets involved, I just want to have a security measure when the device is lost / stolen that one can not just mount it.

I was thinking about maybe just using a VeraCrypt partition on it.

Thanks in Advance for some comments on my thoughts.