The nagging it’s giving you is to back up the Roon database only. Roon does not touch your music files and leaves you to decide best practice to back these up.
In the main settings you need to set up a backup schedule to back up you DB. This can be to a usb stick, external usb disk, Nas,other network location or Dropbox if you have an account.
Mine is backed up to my Qnap nas everynight. I set up a shared folder on the Nas specifically for it. All you need to do then is add the shared path to Roons storage locations. In my case its \simonnas\RoonBackup you may need to add ipaddress instead of friendly name or format like this smb://simonnas/RoonBackup. It all depends on how your system works. I also after this schedule a backup to OneDrive from the Nas. So I have alway two backups a night.
For music files as they are on attached usb disc to my Roon core., I use the hybrid backup sync on my QNAP Nas to mount and access ROCKs SMB share of the music and copy them to Nas then again these get backed up to the cloud. It’s all automatic and I get full notifications if anything fails.
I suggest you read the kB on it not sure if rules allow me to post it here or not.