If you'd like to fix this problem without having to create the 'missing' folder in a location that 'shouldn't' exists since you have chosen path other than the 'default' path for your backup file location... Then have a look at your registry (on both nodes if you're on a cluster):

LOCAL_MACHINE\SOFTWARE\Microsoft\Microsoft SQL Server\<Instance Name>\MSSQLServer.

There, you will find your answer in the form of a registry key called... You've all guessed it: 'BackupDirectory'

Change the value of the BackupDirectory Key (path) to point to a valid area on your Network where the checkpoint file can be created and... Voila!!!

Don't forget... The same operation has to be repeated on Node number 2 if you're on a cluster

I had the same problem... It worked for me.

Let us have your feedback...