If you check the root folder of the USB stick in Windows Explorer, does it have a file called WMPInfo.xml? If not, switch back to WMP and go to Tools - Options - Devices (press Ctrl+M if you don't see the Tools menu). You should see the USB stick listed, double-click it and tick or untick Create...
WMP (Legacy) definitely doesn't have CD-Text support built in. And judging by Dru2's screenshot, neither does the new Windows Media Player app. However, you can still add CD-Text support to the legacy one by installing the WMPCDText plug-in.