Not true, some might actually mess with the files and folders, and might even corrupt the filesystem trying to write in some non-standard way trying to avoid detection. Of course Windows executables won't run on the phone, but they do run on the Windows machine that has been given read+write permissions to the USB mounted filesystem. And of course, like with a "dumb" stickdrive, if you plug that device on another Windows machine with poor protection that machine will run the payload and infect itself.