Long story short, apparently - there can be trouble if you have a Win32 formatted disk on your server. You can fix that with "convert d: /FS:NTFS" However, apparently, that error only exists when you use the SBS Console. If you use Windows Server Backup Console, you can back up Win32 formatted volumes.
But that wasn't my problem today. I got that error above, but when I ran the Windows Server Backup Console, it told me that my volumes had to be 2 TB minus 4 GB. Apparently, this is a universal limitation, not related to the fact that I have two 2 TB WD external HDs as backup for the server. But I had a 3.3 TB partition that came from the Dell factory.
So the solution was to use resize the partition, which was super easy. Go to disk management, right click on the drive that is too large and choose shrink volume. It'll let you reduce the size of the partition and allocate the space you got rid of as unallocated space and you can just create a new partition.