When I connect an external drive to SXT CPE devices, can I do file delivery to these devices on Multicast basis?

Similar like streaming a Video over Multicast.

I know all the pros and cons of Multicast over WiFi.

No, you cannot. There's no service in RouterOS that lets you write wirelessly received data to a file.

i need to write a program for this.

You can't run your own programs inside routerOS.