How to convert exFAT to FAT32?
For more detailed information on exFAT there is a paper: Reverse Engineering the Microsoft exFAT File System (86-page PDF) in the SANS reading room.
Basically, there is no "convert" function between exFAT and other formats. You can't convert to exFAT, and you can't convert exFAT to FAT. Only conversions to NTFS are supported.
In your case, you need to copy all your files to a backup drive, reformat the USB device, and then copy the files back. But keep in mind that if you have files > 4 GB, they won't copy onto the FAT32 device because FAT32 does not support it.