John Galt, I took your advice and bought a Time Capsule, and I've experienced no problems.
I'm including some documentation here that verifies your answer for other readers.
Apple states that, when using a network-based disk for Time Machine, "both your Mac and the networked backup disk should have OS X v10.5.6 or later" (Backup disks you can use with Time Machine - Apple Support). WD My Cloud does not have OS X installed.
Also, Time Machine backup disks use a Mac OS Extended format. However, Western Digital units like My Cloud "use a proprietary file system and cannot be reformatted as FAT32, NTFS, or a Mac File System" (Reformatting a WD NAS drive as FAT32, NTFS, or a Mac File System | WD Support).
WD's documentation claims that My Cloud can function as a Time Machine backup disk (Starting macOS Time Machine Backups to My Cloud and Network Attached Storage | WD Support). However, as their documentation states and was repeated to me by a WD customer service agent (whom I'm quoting), "I will like to inform you that WD does not support Time Machine backup software related Issue as it is an Apple Product."
What results is an "I got it, you take it" situation when Time Machine doesn't work. WD won't do anything for you but shoot you links to articles on their support website that don't resolve the problem and then direct you to Apple. Apple won't do anything for you because they never claimed to support the WD device. I ended up returning the device and getting my money refunded from Amazon because they (the vendor) were the only ones willing to take ownership of the problem.
So do what John Galt says. Get Time Capsule, and don't believe the other drive manufacturers.