While there is a KB for this, I had to whitelist a specific folder in order for the backup to work. The moment the backups started failing was the same day I implemented Lockdown on one server. Once I whitelisted the folder below and re-ran the backup it was successful.
Original KB: https://community.sophos.com/kb/en-us/133231
The Veeam backup error I was receiving stated:
What to do
1. Login to your Central Dashboard.
2. Navigate to Server Protection > Policies.
3. Open the Lockdown Policy which is applicable on the server where the backup is failing.
4. In the Settings tab, click Add allowed file/folder.
5. Enter in the following exclusion:
6. Click Save.
Run the backup again and it should be successful.
Thanks for your submission! I'll forward this over to our KB team for feedback and get back to you.
If you need any more details just let me know. Found it odd that I had to add that exclusion since I thought it was already included when Lockdown was enabled.
Thank you for your patience. Our KB team has edited the article to hyperlink the word Veeam in step 5, to re-emphasize the exclusions outlined by Veeam's article (incase they ever change or are updated by Veeam).
Previously, this link was just listed in the "related information" section of the article.
Hope this helps, thanks again for suggesting this improvement. I'll PM you with more information regarding your reward to our Sophos Store!