Well, our problem is as follows:

Our .jenkins directory lies on a drive on Windows. We just want to make a backup of the config with the following result:
-) we can't copy the folder for backup reasons (without errors -> changes the result)
-) we can't zip the folder for backup reasons
-) we can't bring the folder under version control (just testet Git)

The reason seems to be the linking of files and directories under Windows. We may get arount this somehow, but generally using links seems to be not a good solution - storing relative paths in a text file or something like that would cause much less trouble regarding a configuration backup.