What it needs
The SP-404 MKII works at 48 kHz and 16 bit. Import something else and the machine converts it for you, which is a conversion you did not choose and cannot inspect.
Stereo is fine. Unlike the Elektron boxes there is no mono constraint to work around, so material that is genuinely stereo stays that way.
Format WAV Sample rate 48 kHz Bit depth 16 bit Channels Mono or stereo
Getting the files there
Samples go on the SD card. You can move them there directly or use Roland's import application, and either way the card is what the machine reads.
Prepared folder on disk
Kick 01.wav 48 kHz 16 bit
Snare 03.wav 48 kHz 16 bit
-> SD card, or the Roland import application
-> SP-404 MKII
Doing it in Sample Miner
Export Options has a Hardware target dropdown. Selecting SP-404 MKII sets WAV at 48 kHz and 16 bit, leaves the channel count alone and clears the sampler format, because the machine has no instrument file to read.
Doing the conversion on the desktop means you hear the result before it reaches the pads, rather than finding out afterwards.
The MKII is not the SX
The older SP-404SX and SP-404A run at 44.1 kHz. The MKII is 48 kHz, and a lot of advice written for the earlier machines is still in circulation with the old number in it.
If you are following a guide that says 44.1, check which model it was written for before you trust the rest of it.
The limits
The SP-404 MKII is a pad sampler rather than a multisampling instrument. There is no key mapping to carry across, so a chromatic instrument arrives as loose samples you assign to pads yourself.
Pattern and pad assignment live on the machine. Preparing the audio correctly gets you to the starting line, and the arrangement work stays where it was.
Sources
Specification confirmed against Roland SP-404 MKII documentation.
Other devices: Digitakt, Model:Samples, M8, Lofi-12 XT, EP-133 K.O. II.
What the files themselves contain is in the format reference, and the words each sampler uses are in the glossary.
To check a file you already have, drop it into the file inspector. It runs in the browser and uploads nothing.