Well, there are some distinctions to be made here:
If you have the Maxdrive software, you will be able to use the majority of USB storage devices (even cameras and external HDDs) for loading and saving files, such as replays. There is no other way to know if the one you have works than either find someone who did it with the exact same stick or try by yourself.
The Maxdrives own stick, which basically is a 16 MB USB stick, will not work with GT4s photomode. This is a rare occasion, but it is known that some storage devices just don't work with photomode.
In any case, it is important to understand that there is no connection whatsoever between the photomode of GT4 and the Maxdrive. So the fact that the Maxdrives USB stick works with its own software (obviously) and that it does not work with GT4s photomode is perfectly fine.
@ Sniffs: you need to decompress the replay onto the stick within the Maxdrive software. Then you can put the stick into your PC, copy the file to your HDD and put it on the net.