When upgrading database servers there is always the risk that databases can get corrupted or the installation gets messed up. But I recon the risk of that happening is rather small (but never zero). So the most important data to backup are the databases them self. Which the upgrade tool already does (if you enable the backup option).What backup should I make to roll back/upgrade?
Any other backups are a matter of preference. A server snapshot (if available to you) for example would be an easy solution in case you just want to restore the whole server. A regular Plesk backup (from the backup manager) is useful too and will allow to at least recover to a new server if needed. It's up to you to decide what best fits your needs.