The CP4 and CP40 don't support all memory keys. This is understandable; it's a keyboard not a computer, and can't download/update drivers on the fly the way a computer can. Without thinking about that, I got one specifically for the CP4 and it didn't work, and then I tried several others I already have, and it worked for about one out of three.
I wanted one of the little low-profile ones, so I chanced on this Kingston DTMCK/16GB on ebay and it works:
I was tempted to get a 32G, but none of my 32G keys worked so I didn't chance it. However, there is a file online showing which devices it's compatible with and it includes at least three 32G devices. I didn't get a device from this list because none of the ones I checked were the low-profile type. Some may be; I only checked a few before chancing it.
I leave mine in all the time. In transit in its case, it rests against foam blocks, so the back is safe.
When you have a device to try, plug it in and record CP4 audio. On all of the devices that failed, I was unable to record 2 minutes of audio, so that might be a sufficient test. (I was able to see the directory and do some other operations on the ones that didn't work to record audio. No idea whether they'd allow saving/loading setups.)
Please feel free to post parts that work for your CP4, so when others want to find a compatible device they can look here.
Here's the official list: http://download.yamaha.com/api/asset/file/?language=cs&site=cz.yamaha.com&asset_id=61313 (PDF). I wouldn't expect Yamaha to keep this up-to-date with all the latest devices.
If you've found a good one, please let us know and post below.
Thanks, Jeff.
In general, get an appropriate size USB drive that does not feature any built-in copy-protection software, (this tends to keep music devices like the CPs and synthesizers from writing and reading data from these drives). COPY PROTECTION = MUSIC PREVENTION. You want to get a drive that has decent transfer speed specs, especially if you plan on recording/streaming Audio files directly from your instrument.
And here is a good link to the most recent compatible drive list:
CP4/40 USB Drive Compatibility List (PDF)