[sjk]

That's a permissions error, possibly caused by SD! not setting a permission that's compatible with the filesystem you're storing the sparse bundles on. If you run ls -dl /path/to/file.sparsebundle in a Terminal shell and post the output here I can see what OS X thinks the permissions are.

A workaround might be to manually adjust the permission, manually mount the sparse bundle volume, then select the mounted volume as the SD! copy target. If you try that be careful not to reselect the sparse bundle filename as the target again because SD! might recreate it because of the permission problem.