When using the FTP backup option, I have noted that the file still gets FTP'd to the remote server, even though it reports a failure:
File successfully saved as testdb.1350081405.sql.gz
FTP upload failed: './export/testdb.1350081405.sql.gz' -> 'Websites//testdb.1350081405.sql.gz'
Also, I noted that when I delete the backup from the FTP server, it gets successfully deleted even though it reports a failure:
FTP delete of file 'Websites//testdb.1350081405.sql.gz' failed