Does macOS Catalina require APFS?

"This volume is not formatted as APFS" is the message I get when I try to install macOS Catalina

Yes Catalina wants to see apfs.

you can convert your HFS+ to apfs on the fly— it requires you to be booted into Recovery.

Recovery Mode. Restart your Mac and press-hold Command + R to boot into recovery mode. Then, from Disk Utility>View>Show All Devices> Select your parent drive> click Edit > Convert to APFS.

This is a painless and very fast conversion process, no data loss (inferred "on the fly")

Recovery: https://support.apple.com/en-us/HT204904

Oops! Sorry. In that case …

1. Backup, backup, backup!!! Do not pass Go, do not collect $200 without first have a full, restorable backup of your Mac as it as now on hand.
2. Purchase a 16 GB USB flash drive.
3. Download the full Catalina installer from Apple, if you don't already have it. If downloading it now, when the screen comes up to choose a volume to install Catalina to, just press Command+Q to quit out of the install. The installer itself should still be in the Applications folder.
4. Run this command in Terminal:

sudo /Applications/Install\ macOS\ Catalina.app/Contents/Resources/createinstallmedia --volume /Volumes/MyVolume

MyVolume is your USB flash drive. You can copy/paste the command into Terminal up to the --volume /Volumes/ part. Do not put a space after the / . Drag and drop the mounted USB drive on the desktop into Terminal. It will be added to the command with whatever name you give the flash drive.

Press Enter when the command is complete. It will take a while for Catalina to be written to the flash drive as a bootable installer.

Once done, restart the Mac and immediately hold down the Option key. Choose the flash drive as the startup volume. When it gets to the work screen, run Disk Utility from the top menu bar. Choose to convert the main drive to APFS.

Internet Recovery (option Command R) and try again.

or

from the bootable USB installer— it has a Disk Utility

or

from a Time Machine backup ( it is bootable as well) and has a Disk Utility

Any of these options should work.

The installer will do the reformatting automatically.

You can't covert the volume you're booted to. You'd be pulling it out from under yourself.

leroydouglas has already provided instructions and a link to do the conversion.