With most devices (including Media Players, Routers etc.) this how OTG USB connection should work with a PC. It is originally designed to be used as temporary, to configure, setup and format if necessary, after that disconnect and place the device to it's original place and operation. And I guess there's nothing more benefits you would get it from being somehow "always connected with USB to the PC". Would be also very uncomfortable in casual circumstances.
Edit: Tho' I would welcome some "ADB shell" solution (or an application) to get the ability to format the internal HDD through cable LAN connection from the PC to the BOX as well. Wouldn't that be just more comfy and practical?! (As it seams -incomprehensibly- that, even if these Android OS media Boxes with internal HDD options are current for a while now, there still isn't any Android based app that could do the job and format the HDD correctly from the Box itself).