FSx provides fully managed 3rd Party File Systems:

Windows File Server:

supports Windows native file system features like ACLs, shadow copies and user quotas

uses NTFS

mounted using SMB protocol

pricing options on capacity throughput and backups (and by the fact of it being multi AZ or 1 AZ)

High Availability

Lustre

for compute intensive workloads (ML, HPC, Video processing and Financial modeling) - on linux

works natively with S3

simpler price format

In both cases you can connect from On-Premises using VPN or Direct Connect