Nearly all payload files need to be contiguous (this applies to all types of E2B USB drives - Removable UFD or Fixed-disk).
Persistence files (e.g. \ubuntu-rw) and .imgPTN files aso need to be contiguous.
Most .WIM and .VHD files do not need to be contiguous.
E2B can also boot some linux ISOs that it recognises by name, without needing them to be contiguous (via ISOBOOT). If an .ISO file is below 500MB (default limit) and is not contiguous, then E2B will try to copy the contents to a contiguous file (\_ISO\CONTIG.ISO) first so that it can be booted successfully. This can be quite slow! For more details about CONTIG.ISO, see here.
To avoid any 'not contiguous' error messages from E2B, double-click on the \MAKE_THIS_DRIVE_CONTIGUOUS.cmd file on the E2B USB drive to run WinContig and make all E2B files in \ and under \_ISO on the USB drive contiguous - OR - run RMPrepUSB - CTRL+F2 to run WinContig on the whole drive instead.