To resolve this issue, do the following: 1) Turn off the SharePoint VSS writer on the front-end Web servers on which you ...

To resolve this issue, do the following: 
1) Turn off the SharePoint VSS writer on the front-end Web servers on which you do not want to protect the data source. Only one front-end Web server in this farm should have the SharePoint VSS writer turned on.
2) Close the Create New Protection Group Wizard, and then retry the operation.