Back up minecraft world?

I have a survival world that I started in 1.14.4. Because of the update to 1.15, I now get a text asking me if I really want to load this world, because if I don't make a backup I might lose it. When I searched for "% AppData% \ Minecraft" on my computer, I found that I don't have a single save file from my Minecraft world. My question is; if I click on the "backup and load" button, will a backup of the world be made automatically, even if I don't have any save files yet?

Yes it will