SOLVED!! - I managed to do the same as @tommyoz and used DiskGenius. The issue was, when formatting in windows, by default it creates a little tiny windows reserved partition just before the main ExFAT partition, and that is what was creating the error. With DiskGenius this doesnt happen, and the whole drive is used when formatting to ExFAT. So now it is in GPT mode, and I can use the full 4TB. 
Success!
Oh to add, the P4 does indeed write to the SSD, as I simply added some music on there and it was able to self analyse and create the ‘Engine Library’ folder.
Perhaps Denon may like to point this out to save people future headaches, maybe a note with the quick start guide or similar.