This issue is related to slightly confusing _warnings_ that the software prints out, it doesn't effect the _correctness_ of the backups.
The warnings are produced by COPY TO, which is used by pg_dump, since COPY TO doesn't copy chunks. It is not an issue for pg_dump, since it also do COPY TO on each chunk table.
Timescale engineer here - was part of discussion about this warning. We need to do another round and see how to remove this confusion.
Here is a page from our docs on how to perform Backup & Restore: https://docs.timescale.com/latest/using-timescaledb/backup
Not sure what's going on in that one Github issue, but we are looking into it.