You don't have to do it every time. Should be a one and done. You do need to do it anytime you use the Theme downloader though since it puts them in the root Themes folder and not the Core themes folder though.
The reason it was implemented the way it was is because it works fine for the vast majority of users, and without the implement we would have had broken installs on literally everyone's install. exFAT isn't heavily used anymore, NTFS is the de facto format at this point and so we put in a solution for those users, and tried to find the simplest work around for those on exFAT who aren't willing to reformat to the standard format.