So Microsoft released Rollup 9 for Data Protection Manager 2012 R2 last night, which has a large amount of bug fixes and enhancements. I won’t bore you with a copy and paste on the details as they can be found here https://support.microsoft.com/en-us/kb/3112306
However some of our customers and testing internally has found the install to fail when using Azure Backup with DPM.
We have found that stopping the CBENGINE service and setting to DISABLE in Services until the update has completed resolved the issue. Remember to re-enable the CBENGINE Service Afterwards :).