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Time Machine Backup folder not created?

My problem is I have a WD 4TB My Cloud Home and I am trying to use it with Time Machine on my MacBook Air running Catalina 10.15.7
I have connected to the drive (I did Go , connect to server) , connected as guest. Now I can see it in the finder, I made a folder to test and can put files there if I want. However it does not show up as an option when I got to settings, Time Machine, select disk. The apple device I currently use and want to replace with the WD Cloud Home is there. I went through the help files and made sure the firewall is allowing everything.
All the help articles seem to say that the timemachinebackup folder should be created automatically but I don’t see it on the drive. Do I need to reformat / reinstall it?
It is P/N WDBVXC0040HWT-00

Hi,

Please refer to the following KB article:Why Initial macOS Time Machine Backup Fail?

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