This can be just a thumb drive fault, I think I've had one fail like this.

I also plug and unplug drives from both my old PSR3000 and current Tyros 3 with them powered up. I always wait a few seconds after saving something to the drive before unplugging just to be sure there's no data transfer going on.

Also I've got quite a few Yamaha midi files for my Tyro 3 and always been able to edit and change the key, if the file uses mega voices i find this is easier than using my pc because the keyboard understands which key ranges should not be transposed. You get a copyright warming when you save the file.

I think the inbuilt sample songs may be more heavily protected?