I am having this same problem. TransMac gives me an error message when I try to copy the SharedSupport folder using TransMac. It says "Could not write to Mac volume".
Yes, I am using TransMac in Administrator mode. Yes, I have tried to download the Mojave file a couple of times to make sure it isn't corrupt. Up until this point all the steps in the Mojave guide have been followed (and worked)....
I have also tried 3 different USB drives (all of them are 32gb and brand new). And, I have tried almost every USB 3.0 and USB 2.0 slot on my MB...
Any suggestions from anyone?
I got it to work. I just used HFS+ For Windows and had it "verify & clean" the USB directories. Once it did that I was able to copy the SharedSupport folder to the USB drive.
Highly recommend HFS+ For Windows..its a great little utility and has a free trial period