I'd agree that there's a poor design in the UI flow once you actually start the backup - it prompts you to enter a password in case you want to encrypt your backup, and if you don't enter anything right away it just goes on its merry way with the backup. Here're a few screenshots to show what's going on:
If you swipe up from the bottom you'll see these additional settings. At a minimum it always backs up the data for the apps that you select; my preference is to uncheck the checkbox so that it also makes a backup of the app as well. That way you don't have to install the apps again.
You'll see here that it shows the total number of apps that you've selected to backup, along with their icons at the bottom.
This is where you pick the location to store the backup - in my case a PC is not listed since I wasn't connected (and I normally store my backups on the SDCard anyway).
Here's the screen you're referring to - as I noted previously, if you don't enter a password right away, it just begins the backup.
Assuming that it says that the backup was successful, your data is safe. If you want to test it out, so that you know that you can trust it, just delete/uninstall one of the apps, and then do a restore of just that app.
Sent from my rooted, debloated, deodexed Sinclair ZX-80 running CM -0.001 using Tapatalk 2
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