By default, you can only backup DPMDB from the DPM server. This is by design. If you want to enable the local data protection feature to back up the data files from the DPM server you can set the AllowLocalDataProtection value to true.
The local data protection feature is only for file data sources and the DPMDB database. Other data sources, such as Microsoft Exchange Server or SQL Server, will not appear in the DPM Administrator Console. File data backups can be saved to disk or to tape. However, the DPMDB backups must be saved to tape
You can read more information in the following KB article. Go to the Local data protection on the Data Protection Manager Server section in the article: