Whenever my time machine backup starts I get a message Backing Up Encrypted disk to Unencrypted Disk. I don't know what that is about as I have never encrypted anything.
I just got that message, for the first time, after I upgraded my 2020 iMac to Sonoma. I created and formatted the backup disk with the iMac, and never saw anything about it needing to be encrypted?
When you create the backup there is the option to encrypt it (And choose a separate password), if you want to encrypt the backup drive you can follow the instructions here: https://support.apple.com/en-gb/guide/mac-help/mh21241/mac (note that if it's a network drive the existing backups will be wiped but they will be encrypted if it's a local USB drive)