For maximum integrity it is recommended to back up 4D databases to a drive other than the drive containing the database in case of drive failure. However it is important to keep in mind we NEVER recommend backup up to an external location, e.g. a USB drive or network location.
The reasons for not backing up to network or external volumes are quite simple:
Someone could kick out the cord, the network could be down, the hardware could be faulty, etc. The idea is to minimize risk to the server. If the backup fails, or gets stuck, or crashes, that would be a silly reason for the server to be down.
Instead of forcing 4D to perform tasks the OS is already good at (moving/copying files), just back up locally and then use OS tools to copy/move the backup elsewhere as needed. It could be as simple as launching an (asyncrhonous) batch file in On Backup Shutdown to move the files.
In summary: backup to a separate drive, but not an external drive. If you need to move the backup use the OS to move it. Do not force 4D to access the external storage.