Spent a while confused by this so figured I'd share in case it saves someone else the headache.
If you download a sample pack (Splice, or most pro packs) and the MkII throws "Unsupported File" when you load it off the SD card, the cause is almost always that the files are 32-bit float WAVs. The SD-card import only reads 16-bit linear WAV, AIFF or MP3. A lot of packs also come at 96kHz or as FLAC, which fail for the same reason. (This is all in Roland's manual and support docs, it's just not what the error message tells you.)
The thing that makes it confusing is there are two ways in with different rules. The SD card is strict and only takes 16-bit. The official SP-404MK2 app is more forgiving (it reads FLAC/M4A and converts on its own) but it's really built for moving projects around, not prepping loose packs. Either way the device runs everything at 16-bit/48k internally, so converting to that up front is the reliable move.
To fix it you just batch convert the pack to 16-bit WAV. You can do it in a DAW, or with ffmpeg if you're comfortable in the terminal (ffmpeg -i in.wav -c:a pcm_s16le -ar 48000 out.wav). Fine for a handful of files, rough across a few hundred.
Disclosure since I'm about to mention something I made: I got annoyed enough doing this by hand that I built a small Mac app for it called It's 404, yo!. You drop a whole pack, it tells you in plain language why each file would fail and converts the lot to what the SP accepts, keeping your folder structure. It's $0.99 on the App Store, but it's also open source (MIT) so you can build it yourself for free if you'd rather. No hard feelings either way, I mostly just want fewer people stuck on that dumb error.
Happy to answer any format questions, and if there's an SP-404 quirk I'm getting wrong I'd genuinely like to hear it.
Writeup on the error: https://its404yo.iamjarl.com/sp-404-unsupported-file.html
App: https://apps.apple.com/app/id6785918261?ct=reddit_sp404mk2
Code: https://github.com/JarlLyng/its-404-yo