If a file has no suffix, often the macOS will presume it's a binary (executable) file. Is it the case here? Every file you're bringing over should have a suffix: .RPP for the Reaper project, .reapeaks for the audio files view, .wav for the audio files (if they are in fact Wave), etc.
I use ExFAT HDs every day on macOS without problems (not in the context of transferring Reaper projects though), so I would be surprised if that would be in fact the problem.
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