Thanks for writing in! From your account, it looks like you’re using a different machine to run Roon Server - so you’ll want to set up a shared folder via a network share to your Mac to set up a backup location. Here is more info on how to do this:
Note that the above article is specifically for setting up a ‘watched folder’ which is for your local library - in your case, you’ll want to follow the same directions and steps, but under your Roon Settings > Backup > Backup Now > Select location.