At the moment I am in the midst of an operation that should not be interrupted, so I'll refrain from trying to connect this usb again. Will try to post a screenshot later on. In any case, the dialog box that popped up was the usual scan/do not scan this usb stick. The rest of the system remained operational, however the ESET gui froze and had to end. I restarted it from programs and operated just fine afterwards.
As for the procedure: grab the easy2boot installer from hxxp://files.easy2boot.com/200003255-d4473d53c9/Easy2Boot_v1.98.exe
Having installed an empty stick on a system, run this installer and select "Make E2B drive". This makes some special repartitioning on the stick. For instructions see hxxp://www.easy2boot.com/download/
I'm using this as a general rescue boot usb stick, having loaded macrium reflect, systemrescuecd, acronis true image, seagate disc wizard, memtest86+ etc. Obviously the procedure you are going to use will create a stick without any boot images, but I believe you might be able to reproduce the issue.