Yep, that's expected. Direct copying should turn off executable permission to avoid unintended run (e.g. without user noticing).
I doubt it is that! The USB stick probably has a FAT32 file system, which knows nothing about Linux's file permissions.
Format your USB stick as EXT3/4, JFS etc.... any file system that supports *nix like permissions, then copying files onto it will retain permissions. USB sticks might come standard with FAT32, but they can be formatted (just like a hard drive) to any other file system. All my USB sticks
don't have FAT32 any more.
Alternatively, tar.gz the files before copying.