Don’t use backup plugins. They generate extreme server load (and may cause you to hit account limits and get suspended) and often run into various PHP limits resulting in corrupted backups or being unable to restore it.
Don’t try to download your entire website with the file manager. The file manager works well for simple operations, like modifying a file on the go or uploading and downloading individual files. It breaks for bigger operations, and there is no way to fix that.
This is our recommended way to backup your website.
Feel free to go your own way if you want, but do so entirely at your own risk.