IO isn't the issue. The issue is the network. If there are dropped packets or a network glitch of some sort during the backup process, the backup either fails or gets created as a corrupted file. If you create the backup locally, a valid backup can be created without any intereference from the network.

Think of it like this. If someone on the other side of the room asked you to fill their water glass, would you pour the water directly into the glass (i.e. fill it locally)  or would you spray the water across the room with a hose?