For a full backup, you'll typically want to backup everything except cache. and-sec and data are optional as well if all you care about is a working ROM. So if you checked off all the partitions TWRP listed, you should be good. It doesn't check EFS by default so if you have a partition like that, you might want to include it.
You can also verify the backup. On your SD card (or the location you chose for backup) there will be a TWRP folder that contains BACKUPS → <device ID> → <name of backup with date> → backup files.
The .ext4.win files (you should have boot, system, and data which might be broken into smaller pieces) are actually tar archives, which you can open to view the files. boot.emmc.win will be a binary file, but you could do a hash check against your existing boot image or something if you wanted.
Given that you would have to restore this backup with TWRP, backing up recovery isn't really necessary or relevant! However, if you are worried you could back it up manually from a privileged shell/terminal:
$ su
# cd /dev
# find . -name recovery
./block/platform/msm_sdcc.1/by-name/recovery
# readlink ./block/platform/msm_sdcc.1/by-name/recovery
/dev/block/mmcblk0p18
# dd if=/dev/block/mmcblk0p18 of=/sdcard/recovery.img
Just make sure that if=<path> matches the location of your recovery partition, which is probably different from mine. If your device doesn't have a by-name listing then you will probably have to look up online to find which partition is recovery. If you don't have readlink, try ls -l instead.