Hope you have created a Dedicated Pool.(Other wise User Data redirection will not happen)

On the VM , where agent is installed, check the PofileList path is correct or not. <The path should point to the Persistetn Disk>

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows NT\CurrentVersion\ProfileList

Also what type of customization is used here (SysPrep / QuickPrep)

could pls attach logs ?

Regarding backup path:

The path is not allowded to changed through UI (But can change through preference file). alternatively you cna try the command line options for the backup. Refer View Admin guide , page 259