Yes the maximum volume is 32GB and I'd say a worse limitation is that the maximum size for a single files is 4GB.
One workarournd is to use some utility that was developed for Windows that let's you apply FAT32 format on a volume larger than 32GB but I wouldn't use anything not Microsoft for formatting drives in Windows.
As Grobe said above, you can make a 32GB partition (or more than one) and format them FAT32 if you really need that file system. Although, keep in mind that each partition would use some of the HDD capacity to seperate itself from other partitions. If you make a few, that would mean some wasted space.