A few thoughts:
(1) Within a modern Linux environment, FAT32, EXFAT and NTFS formatting is relevant only to non-system internal and external data storage drives. Except for EFI partitions (which are formated in FAT32), none are relevant to Linux system drives because most modern Linux distros format data partitions on system drives as Ext4 by default.
(2) FAT32 is lightweight and compatible with almost every operating system. For that reason, FAT32 is a good choice for flash drives, SD drives, and other storage devices used to transfer 4GB and under files between devices. Because of the file size limitation, FAT32 is not a good choice for internal or external SSD's and HHD's or for portable storage devices used to transfer files over 4GB.
(3) EXFAT is lightweight, compatible with Windows, Linux, modern versions of macOS, and Android. EXFAT is not as universally compatible as FAT32, however, and might be incompatible with some devices (SLR cameras, smartwatches, older game boxes and so on). EXFAT removes the 4GB file size limitation present in FAT32, but is otherwise similar in most respects (read/write speed and so on), and is useful for SSD and HHD drives and storage devices used to transfer games and other applications with large file sizes.
(4) Neither FAT32 nor EXFAT support journalling or native encryption, and, as a result, would not be good choices for installing/maintaining operating systems.
(5) NTFS was developed primarily for Windows. NTFS supports journalling, native encryption, compression, reparsing and other features used by Windows and seems to be increasingly a critical component of Windows 11's security schema. Windows formats as NTFS by default. Starting with 5.15, the Linux kernel can read/write to NTFS drives via NTFS3 and I assume that Linux compatibility will continue if new NTFS versions develop. macOS has included native NTFS read/write support since version 10.6, although I've read that compatibility can sometimes be problematic. I don't use macOS so I have no personal experience with NTFS on macOS.
(6) In my view, NTFS is better suited to Windows than Linux, although I have had no problems using NTFS drives for data storage under Linux kernel 5.15 and no longer bother to reformat an NTFS-formatted data drive to EXFAT before I install it in a Linux computer. In my use case, where I run Windows and Linux computers in parallel and want to be able to swap data drives between Windows and Linux computers, that is a convenience.