One point of clarity- Sentry does not record video.
Dashcam does.
The only video thing Sentry does is, if it goes to alert mode, it will move the last 10 minutes of dashcam footage from RECENT folder to SENTRY folder.
Sentry mode works fine without even having a USB stick in every other way, it just won't move the dashcam video over for you if it doesn't exist.
So if you're not getting any video on your USB stick it's dashcam, not sentry, you'd need to troubleshoot.
(but yes it's usually some kind of formatting/file folder issue)