I also asked this in Adobe and someone told me that I need to specify a folder for the backup and not try to do it at the root. I've backed up the small catalog successfully so am now having a go at the larger one.
Unfortunately, the lack of clear information about the necessity to create a specific folder creates frequent issues. You can create the folder during the backup configuration, but I recommend doing it before. Also it's good to give the folder a significant name with a date (you can have several backup folders on the same drive).