A quick trick/trap discovered by Roger Johansson: Reformat and repartition hard drives before using them with Time Machine | 456 Berea Street
Basically the problem is that the majority of external hard drives on the market come preformatted for use with a PC. This means it uses the Master Boot Record (MBR) partition map scheme, which Time Machine chokes on (technical term).
Formatting the drive prior to use will only fix this problem if you know to dig around in the settings tabs and specify the partition map scheme. Roger's post includes step by step instructions on formatting a drive so that Time Machine will work properly, head on over there if you need the info.
Roger then ponders the same question that occurred to me when I read about his woes:
A question I asked myself after going through this trouble with reformatting, repartitioning and cloning hard drives is why Time Machine didn’t tell me that it doesn’t fully support the drive I connected. I hope there is a good answer since most hard drives you buy will use the unsupported MBR, and changing it when you’ve been using the drive for a while and start noticing problems is very frustrating and time consuming.
Why indeed? Macs are supposed to reap the benefits of a relatively controlled platform. But even though there was an easily detectable problem, Time Machine wasn't set up to actually check that it had the type of hard drive it needed. Given how fundamental that is to its purpose, that really seems short sighted.
It is consistent with the problems I had installing things in the wrong place though. Mac software often seems happy to let you go ahead and fuck up, blissfully unaware that your backups aren't actually working properly. Windows would probably fail immediately with an unhelpful error message, but at least you'd know something was wrong.
Bloody computers.

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