What do I backup files as? UDO? ISO? Does it matter?

[OM2]

I've just tried making a backup of files on my laptop
I'm using IMGBurn

I just selected 'write folders/files to disc'
It gave me a warning saying something like 'ISO9660' only supports 8 levels deep in folders - and that I had 15 levels deep

I'm backing up now using UDO - which I know that you use normally ot backup files bigger than 2GB (I think)

What are the different formats?
Does it matter?

Thanks


OM