I occasionally experience similar issues when backing up to a network share. When this occurs I'll run RESTORE HEADERONLY, RESTORE VERIFYONLY, then I'll restore it to another system and run DBCC CHECKDB. If it passes all three, I'm comfortable.

Here is one example (may or may not be your case) that may answer your question:

http://stujordan.wordpress.com/2012/06/14/sql-server-compressed-backups-fail-with-setendoffile-error/