There's not a high level of caching in things like RAM for one important reason: the destination is removable media. If the data is cached in RAM and reported to the OS that the transfer completed super fast (like 500+MB/s), then YOU would think its done copying when in reality its not (some would still be sitting in RAM). Now you pull your USB drive out of your computer and leave with it (because lets be real, none of us really "eject" our thumb drives properly in windows). When you plug it back in, the file is not there, or corrupt.
Caching to RAM is ok for things like RAID arrays (using write-back for RST-driven RAID arrays, or on hardware RAID controllers) because these devices are static in your machine. The Intel chipset will even use up to around 10GB of RAM to cache a large file transfer to a disk array when using the on-board chipset for RAID, and you'll see your RAM utilization slowly go down as the data is gradually written to your actual hard drives in the background. As far as you saw in windows, your data copied to your hard drive(s) at 1GB/s (which looks awesome!) but its not on the disk yet. The same rules apply here, if your PC were to lose power in the middle of that transfer to disk then anything still cached in volatile RAM would be lost. For this reason there are dedicated batteries and such that can be added to hardware RAID cards to protect that cache in case the host computer loses power, and when it powers back up the cache on the RAID card is still there and can continue to be written to the hard drives now that they're back online.
Imagine if a thumb drive manufacturer enabled RAM caching as a feature (which would require an additional driver by the way). If you read reviews on that thumb drive online you'd probably see a bunch of people saying "fastest thumb drive ever. It copies at like 1GB/s!" Then you'd probably see a bunch of reviews saying "copies keep failing. I copied a 1.2GB movie to the drive, it completed with a transfer speed of 1GB/s, then I pulled my thumb drive out. When I plugged the drive in to my laptop the video wasn't there. Worst thumb drive ever; total hoax."