Why does Timeshift put up this message when I try to backup to an external hard drive? Deja Dup, Lucky and Pika don't
Because Timeshift doesn't simply copy files around from one location to another. The way it works is that it keeps track of changes made to a file between each snapshot taken, thus is able to reconstruct the filesystem using that information.
The EXT4 filesystem, used by many Linux distribution, has certain metadata that are unknown to other types. Things like file permissions, for example. Saving files to an external drive with another filesystem that doesn't understand this metadata would simply remove it. This would hinder Timeshift's ability to reconstruct the snapshot accurately, and so you can only choose filesystems natively supported by Linux.
Other backup tools basically copy the files, meaning its contents, or may be more permissive and shift the responsibility to deal with this to the end user.
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It's worth noting that some other backup tools also offer sector by sector backup, at a level lower than the filesystem, in which case such metadata isn't lost, as it's not backing up files; it's backing up the literal contents of the disk. (I'm not saying this to dispute you in any way; only to point out that no message doesn't necessarily mean lost metadata/user responsibility.)
So does this mean I should be formatting everything as NTFS instead of ext4?
If I understand well what @zenzen said, you need to have an external drive formatted in EXT4 (or a partition) to have a complete snapshot
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If you are going to use Timeshift on Zorin and use an external drive you must either use the whole drive as Ext4 or if dual-booting create separate partitions formatted to Ext4 for Timeshift snapshots, and another formatted to NTFS for Windows files. Because I use 1Tb HDDs I have my Timeshift snapshots stored in /home. If I am backing up my /home folder I have had no issues copying same to apreformatted NTFS drive.
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