Which format should I choose for a Time Machine backup volume?
Time Machine in Catalina only supports HFS+ as a destination volume.  The first macOS that supports APFS as a destination volume is Big Sur.
ref:
https://support.apple.com/guide/mac-help/types-of-disks-you-can-use-with-time-machine-mh15139/10.15/mac/10.15
vs:
https://support.apple.com/guide/mac-help/types-of-disks-you-can-use-with-time-machine-mh15139/11.0/mac/11.0