Thanks, Devtrends! I did 2 changes:
Set the option you suggest about "When no local distribution point is available, use a remote distribution point." and also I set Full Control NTFS permission to the "Local Service" account to the folder set as the backup/restore folder. Then it all began working.
As I did 2 changes, I am not sure if both are needed or just 1 of them, but anyway, this solved it and I don't want to touch now to re-test.
Regards,
Jose Angel Rivera