Same problem. New 14” MacBook Pro. Bought WD G-drive, supposed to be plug and play. 4 hours later with multiple calls with WD, their solution was to find another computer and try and connect the drive and reformat it to exFAT. Didn’t want to do that, old format, not sure other limitations. So then the tech wanted me to type some code in the command line which I refused (his typing was poor so I was concerned i would screw something up on my laptop), then he wanted to remote in to my computer (no way), so I asked for my money back and was told I would have to pay shipping etc. really poor customer service from WD.
So then I happened on this thread and thought, what the heck, order a USB-C to USB-C cable from Apple as suggested, and … voila!!! It recognized it, set it as backup drive, works terrific. So until or if Apple/WD fixes their incompatibility. Consider spending $20 for an Apple cable. thanks Leomaster!