Time machine freezes while copying files with no error message (on Catalina 10.15)
Okay, my Time Machine backups work now, and I can post this answer to my own question.

To print out what files are currently being copied there is a nice command in the terminal:

sudo fs_usage -wf filesys backupd | grep HFS_update

Doing this I could see that my backup froze at certain files, and CPU was at 0.0 usage. However, even after it had frozen, intermittently it made small steps of progress before freezing again (as I could tell from the terminal printout). And even though CPU usage showed 0.0, the total number of CPU hours were very slowly creeping up. So there was some activity in backupd, but so little it rounds to 0.0. Thus I left the computer on over night, and in the morning it had finished. It took 14 hours to finish, including several hour-long pauses when no files were written to the backup drive.

I was using Catalina 10.15.1, but using the newly released 10.15.2 for my second backup disk I can tell that the problem persists. I then reformatted the second disk to see if that would make it any faster. But no, it takes even longer to create a new backup (20.5 hours).

However, after one painfully slow backup has finished it seems to work normally, with much shorter backup times.

Read more here:
https://eclecticlight.co/2019/11/11/time-machine-and-backing-up-in-catalina/comment-page-1/?unapproved=42377&amp;moderation-hash=3183957ce67228fdfbd8a9b757b038dc#comment-42377