This is not completely accurate. The rule of thumb is if the VM is in the VC inventory's datacenter, then a VDR appliance in the same datacenter should be able to protect that VM.
Note that each VDR appliance is capped at protecting up to 100 VMs, so typically the only reason that you would deploy multiple appliances are if you need to protected more than this limit or if the ESX hosts in the same datacenter are geographically distributed and you can want to keep the backups "local" to each location.
VDR uses a variety of transports to move the data (i.e snapshot) from the VM to its dedupe store - the most efficient is by using SCSI hot add. There are a few requirements for use of SCSI hot add, one of which is visibility of source datastore from the VDR appliance. However, if VDR is unable to perform a SCSI hot add, then it will cycle through the various other methods, ending with a network file copy.
In terms of the -3946 error, some questions:
0) Assume you are running VDR 1.1 - if not, please upgrade
1) Has VDR ever able to backup this VM? Is this problem with all VMs?
2) If yes, what happens when you attempt to manually snapshot the same VM (Make sure to uncheck memory state and check quiesce guest file system option when attempting the manual snapshot since this will mimic the snapshot operation that VDR initiates.)
