Unfortunately I wasn't able to find any clear documentation online about the consequences of not setting TargetServerVersion to 2019. We tried keeping the target server version at 2017 even though the box was 2019, but our SSIS solutions would fail with "unexpected termination" error messages. And there wasn't any other error information outside of that.
So, we tried upgrading to Visual Studio 2017 and 2019 but still had no luck. We continued to get the "unexpected termination" errors. Again, there wasn't any other error information outside of that message. I started rooting through the XML of our packages after they went through the upgrade wizard and noticed some funky stuff. One example I described here, but I didn't hear back on that topic either. I suspect something is going wrong during the package upgrade. After reading some of the comments on the visual studio 2019 SSIS extension, it seemed like maybe things weren't ready for prime-time yet.
We ended up spending about 2 weeks wrestling with this but were never able to resolve the issues. So, we put the upgrade on the back-burner and decided to loop back to it some other time. If you have better luck, please let me know!