The error stated that when DPM tries to create a snapshot of the drive there’s no Shadow Copy Storage available on the drive that DPM protects.
This can easily be solved by using VSSADMIN. Open an elevated commad prompt and use the syntax
Vssadmin add shadowstorage /For=D: /on=D: /maxsize=unbounded
What VSSADMIN will do is to create a new Shadow Copy Storage for DPM to use.