Files above 4GB are truncated, i.e. the end of the programme is lost. Below 4GB the file size is whatever it is.
NTFS is fine (read and write) with custom firmware and the NTFS-3g package installed: no 4GB limit. Ext3 also has no 4GB limit, does not require custom firmware and can be formatted by the HDR-FOX itself. This requires a free programme (e.g. EXT2fsd) for read/ write in Windows.