how select ICloud for Time Machine Back up

I remember I was surprised by this too. Unfortunately, you can't use iCloud as the medium for your Time Machine backup(s). However, all files stored in iCloud do not need to be part of your Time Machine backup. You need a local storage device to store Time Machine backups of all your files not stored in iCloud.

Here are the disk types currently compatible w/ Time Machine Backups: https://support.apple.com/guide/mac-help/types-of-disks-you-can-use-with-time-machine-mh15139/11.0/mac/11.0

A Time Machine backup will include your files from iCloud Drive and iCloud Photos Library, but only, if you are not using "optimise Mac Storage". Only the files that are mirrored locally on your Mac will be backed up by Time Machine. If you are using "Optimise Mac Storage" to save storage on your Mac, you need to make backups of all your cloud data manually, as Time Machine cannot include the data stored only in iCloud. It will be a lot of work, but it is essential to back up your iCloud data. iCloud is storing your documents and data savely, but it does not keep a history like Time Machine. If you mess up your iCloud data, you may not be able to revert to the previous state, if you notice it to late. then you need your backups.

See: Archive or make copies of the information you store in iCloud - Apple Support