It looks like the backup plugin tries to copy a directory instead of a file and stops the backup at this point. Also the configured compression to zip files wasn't working, probably due to the exception.

Jan 21, 2013 5:00:34 AM org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup backupJobsDirectory
INFO: Found 31 jobs to back up.
Jan 21, 2013 5:00:34 AM org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup backupJobsDirectory
INFO: Found 347 jobs to back up.
Jan 21, 2013 5:00:36 AM org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup backupJobsDirectory
INFO: Found 36 jobs to back up.
Jan 21, 2013 5:00:38 AM org.jvnet.hudson.plugins.thinbackup.ThinBackupPeriodicWork backupNow
SEVERE: Cannot perform a backup. Please be sure jenkins/hudson has write privileges in the configured backup path 'D:\backup\jenkins'.
java.io.IOException: Source 'd:\jenkins\jobs\settings-XYZ.xml' exists but is not a directory
at org.apache.commons.io.FileUtils.copyDirectory(FileUtils.java:869)
at org.apache.commons.io.FileUtils.copyDirectory(FileUtils.java:814)
at org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup.backupJobConfigFor(HudsonBackup.java:240)
at org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup.backupJob(HudsonBackup.java:201)
at org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup.backupJobsDirectory(HudsonBackup.java:190)
at org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup.backupJobs(HudsonBackup.java:169)
at org.jvnet.hudson.plugins.thinbackup.backup.HudsonBackup.backup(HudsonBackup.java:136)
at org.jvnet.hudson.plugins.thinbackup.ThinBackupPeriodicWork.backupNow(ThinBackupPeriodicWork.java:87)
at org.jvnet.hudson.plugins.thinbackup.ThinBackupPeriodicWork.execute(ThinBackupPeriodicWork.java:68)
at org.jvnet.hudson.plugins.thinbackup.hudson.model.AsyncPeriodicWork$1.run(AsyncPeriodicWork.java:54)
at java.lang.Thread.run(Thread.java:722)

I haven't recognized this issue immediately, because a full backup and 6 incremental backups were partially stored in the backup folder. It would be helpful to show an error on the thinBackup Jenkins page, if a backup failed due to any issue.