A Microsoft file hosting and synchronization service.
Hi Ka Kiu,
Thank you for sharing the experience with us. Appreciate that you also sharing the screenshot regarding the issue.
For the error message, it appears may because that the important folders aren't in the default locations. The folder Documents with the error contains another important folder and can't be protected until the contained folder is moved.
Important folders that may be contained within the folder include: Documents, Desktop, Pictures, Screenshots, Camera Roll or the OneDrive folder.
So I suggest you move those important folders to correct location and try to use OneDrive folder backup again.
You may check the information in Fix problem with PC folder backup section from this article.
Have a nice day!
Best Regards,
Tina