You do not need any third party software in order to use an external hard drive. The WD proprietary software is meant to allow you to write to an NTFS file system which is shipped many external drives. However, NTFS is a Windows file system and should not be used on a Mac as there are other options.
Plus if you want to use the external drive for a Time Machine backup, then you need to erase the whole physical drive with a native Apple file system such as HFS+ or APFS. If you are using macOS 11.x Big Sur you will need to erase the external drive as GUID partition and APFS (top option). If you are using macOS 10.15 or earlier, then erase the whole physical drive as GUID partition and MacOS Extended (Journaled). You will need to click "View" within Disk Utility and select "Show All Devices" so that the physical drives appear on the left pane of Disk Utility.
If you are using the external drive to just store files, then you should erase the physical drive as GUID partition and MacOS Extended (Journaled) since this older file system is more stable at the moment. If you want to share an external drive with a Windows computer, then you need to erase the physical drive as GUID partition and exFAT. It is best to use a native file system instead of installing third party software & drivers which tend to break with an OS update and which may cause other issues.
Edit: Make sure to uninstall the WD proprietary software by following WD's instructions.
