The reason for this is because the database is not "attached" to SQL Server, is just accesses the engine.  There are a couple of ways to do a backup that I know of and I have noted them below (this is not to say there are other ways, but these are the ones I know of).

1. You can attach to the database in your SQL Manager and then do the backup manually.  Be sure to detach after as this will lock the database and prevent it from being accesses by DNN.
    
2. The other option (the one I suggest) is to take the site offline, attached to the database, Create a New database that is within SQL Manager, import all your data from the existing file based db (you can do an import, or do a backup of the file based db and then restore it to the new db), then update your Web.Config to use the new database, then detach the old db, move its file to another location, restart your site, and test.  If all is working you can delete the old file based db and setup a backup schedule for the new one that is now a standard SQL DB part of the manager...

I Never use the built in db myself because I can do it in the standard way.   This is not to say that the file based db is bad, but like most things it is all about what works for you best...  For me, I create the db and then point to it when setting up DNN, if allows me more flexibility.  I hope this helps you.

Best Regards,

Robert J Collins | Co-Founder & President

Netlogic Corporation

No problem, let me know if you run into an trouble along the way.

Best Regards,

Robert J Collins | Co-Founder & President

Netlogic Corporation