This is due to a limitation with the FAT32 filesystem and not uTorrent, to fix this you can simply convert your existing filesystem to NTFS via the command line "convert" tool like so:
convert c: /FS:NTFS
I don't really see any disadvantages this could bring you, only advantages, lots of them.
With FAT32, the max file size is limited to just shy of 4GB. With NTFS, you are limited to 16 TiB, theoretically it could support 16 EiB, but this is a restriction with the implementation.
You can find a good comparison chart of various file systems here.