There are a lot of storage formats that limit the total file size no matter what file system they're on. For example video DVDs require the .VOB files to be no larger than 1GB, even though the DVD file system itself is capable of storing larger files.
On the other hand, I've already read that volumes converted from Fat32 to Ntfs are less good than native ones.
I believe this may be true but I can't provide evidence to support it as it's been a long time since I've heard of anyone converting file systems. The best option is to format the drive with a different filesystem. This means you need to backup the data first of course, but it rids you of possible issues with conversions.
I converted one of my wifes drives awhile ago. Its not that its "less good", but you can run into issues during the conversion. Your supposed to back up any important files just in case. We copied them onto a different drive, but didn't lose any. Never had an issue with it.