If you select a volume that contains SQL data for backup, the SQL Agent determines which SQL data should not be included in a volume level backup. For example, .MDF and .IDF files should not be part of the backup because they are opened for exclusive use by the SQL system. These files will be automatically excluded for backup by a feature called Active File Exclusion. If this exclusion did not happen during a non-snapshot backup, these files would appear as in use - skipped. If this exclusion did not happen during a snapshot backup, the files would be backed up in a possible inconsistent state, which could create restore issues.

While it is not recommended, if you want to include SQL data in a volume level backup, you must first dismount the database you want backed up. Then, run the backup job.