I'd recommend that if you're going to go for an archive-based encryption, you'd want to go for something like a .7z file. The reason being is that 7-Zip offers more customization, such as the ability to encrypt file names in an archive as well.

You can also look into tools like VeraCrypt which don't rely on Microsoft's proprietary code. It's open source and a lot of people use it to encrypt USB drives. You can even create things like hidden volumes. It's not a good idea to store things like Bitcoin seed phrases on a USB drive but if you're going to do that (or something else with a similar level of sensitivity), the hidden volumes feature can be helpful.

As for me, I don't have much of a use case for encrypted thumb drives as I never take them outside of my home, but I do keep all of my PCs encrypted. Most Linux distros make using LUKS full-disk encryption a breeze these days and, of course, enabling Bitlocker on Windows is easy as well.