Is it failing because we have most of user content databases stored on MS Azure blobs?
MS SQL 2014 server has a total of five volumes including C: and D: drive, so we're fine on that volume count.
Even though, I back up the same MS SQL server 2014 using DPM excluding SharePoint farm, I prefer to back up using Azure backup as well.
As we've already found out DPM on Azure does not support backing up non-VSS volumes, plus I read something about either unsupported, or yet to be tested 'system state' restores for IaaS loads.
There's no scheduling conflict for sure between DPM and Azure backup.
I wish either DPM or Azure Backup be able to back up everything on Hyper-V VMs.
Thanks.