Just had this same problem backing up a .sparsebundle image to a Windows home server machine.
I fixed it by first creating the sparsebundle locally on the MAC disk, stopping the backup(as I would not have had enough space otherwise!!) and then locating the file on the mac and copying it over to the server and pointing SD to the same location as to where I copied the file to on the server and restarting the backup again.... and it seems to be backing up fine now.
hope that helps
Piers