Sorry for the delay! Here is, what we did:
01. Goto Windows Services and find a service called "MAXDB: <SID>" (so on our server it was "MAX DB: TST")
02. Under Logon for this service we chose "This account" and entered the sqd<SID> User and its password. This local user should be there already.
03. On the server that was opening the network share we set security to "Everyone" so everyone could access the share.
From that point on "Access denied." was history.
Problem, as far as we found out: Normally running as the "local system account" it has no access to the network. Check here: About the Local System Account/Computer$ in Configuration Manager
So if you change the account it should work. You could easy circumnavigate this situation if you put your backup source files onto a local volume or mount a additional HDD into your virtual machine.
Hope this helps!