You are running in windowed mode. From the DirectX9 docs:
In fact, D3DFMT_UNKNOWN can be specified for the BackBufferFormat while in windowed mode. This tells the runtime to use the current display-mode format and eliminates the need to call GetDisplayMode.
So there, D3DFMT_UNKNOWN just means "use the current display setting". DirectX 11 doesn't seem to support that, and the documentation about the modes there (and how you're supposed to create the swap chain) are a bit more complex. I think you can choose your BackBufferFormat in DirectX11 regardless of the actual display format and conversion will automatically occur. Probably 99% of all displays now are set to an X8R8G8B8 format anyway, I suppose.