"Scan" the USB for files it don't like for lack of better description.
Ignore it, There should be a box that says do this in the future click it and you wont see it again,
That's what I always do, it'll happen sometimes when connecting from one Windows computer to another also. Especially if it's been reformatted to another standard (most are FAT32 default). Some of mine are formatted to NTFS, to handle larger than 4GiB files.
Auto 'repairing' of the drive by the scan may cause harm to any files on it, so it's best to ignore these messages. If the USB drive were no good, then it wouldn't auto open anyway. I'm always downloading files seen while on Linux Mint to use on Windows computers, why I also run ESET NOD32 4 for Linux, to scan for infections, and have never had issues with the USB stick.
My luck with these must be better than many reports, in the last 10+ years, have had only one USB stick go half bad, and it still reads & writes, although slowly, a no-name 16GiB brand purchased in 2009-10 on eBay, back when it was something to have a 16GiB USB stick. Have never had one to totally fail, though have had some that didn't meet the advertised speed specs & have a wide variety of brands, and have a Team brand 32GiB stick that doesn't show when plugged into some USB 3.0 ports, though it's USB 3.0 rated, works fine as USB 2.0. Crucial USB sticks are actually rebranded Lexar, and was surprised at the low spec performance of the USB 2.0 8GiB stick I purchased for $2.14 shipped (promo for Crucial customers around the holidays last year). Before I formatted it the first time with the HP Formatting tool when nearly empty & new for an emergency BIOS install (almost lost my HP dc5800 by reverting to an older version), showed as a Lexar when inserting into a Windows install. The BIOS update to the proper version was a tricky deal with the USB stick, yet worked.
That's why I didn't purchase the Lexar twin pack of 32GiB USB 3.0 drives a couple of months back at Costco for $19.99, because of the low transfer rates of the USB 2.0 model. I have plenty anyway (two unopened for a long time, some are SDHC cards that I use with a USB card reader & these acts just as a USB stick, one 2GiB one is a dedicated Linux install SDHC card. Have a couple in my possession that's been unopened for many months, getting close to a year, one a 32GiB Samsung Pro SDHC card boasting read speeds of 90MB/sec & writes of 80MB/sec. Another is a Silicon Image brand that was on promo for $10, not as fast as the Samsung, yet still well reviewed. Many were used for smartphone extra storage cards. For that purpose, I'd go with Samsung Pro or Sandisk Extreme only.
Have seen a few reporting failures of numerous USB sticks, if on a single computer, I'd be concerned more about the computer than the USB sticks. One would have to be having an internal computer issue for multiple USB sticks of different brands to be toast after a couple of weeks to a couple of months, and I know one of these has used the same Sony notebook for years, so must be the computer killing half a dozen USB sticks. Maybe an electrical issue with the MB, or the USB inputs aren't lined properly, allowing a portion of the outer input contact area of the sticks to touch something these aren't supposed to, causing a short. USB stick OEM's doesn't cover this type of damage.
So it's perfectly fine to share the same USB sticks with Linux & Windows, just skip any checking.
Most are backed by a 5 year to Lifetime warranty these days, and some OEM's doesn't want the old one back, just provide proof of purchase & get a new or open box of the same or better specs in 2-4 weeks. If has to be sent in, will be longer, like 4-6 weeks. If they can determine obvious abuse (such as sent in fully formatted to ext4 with a Linux install), which is plain dumb to send in such a manner, any warranty claim may be rejected, or they'll send a one time replacement with a DOA or 30 day warranty only. Can't say I can blame them, one ought to know better, to format the drive with the Windows or Linux formatting tool. Better yet, using the HP formatting tool that's a free download, which will sanitize the stick/SDHC card.