I can also confirm that the copy is needed (at least for my Linksys router's SMB share.) In fact I suspect that's part of the reason you can't set up TM directly on these shares anymore.

I hadn't really paid much attention to these posts and just tried following the steps outlined here (without the copy) and kept getting an error saying the sparsebundle couldn't be created. Finally I realized on my own that maybe I could create the file locally and copy it over... so it would have saved me about an hour of troubleshooting if I'd read everything here first!

But either way, thanks for the info - I started crying when I found out that I couldn't use my NAS with TM!

PS. I think this should be listed as either it's own hint, or at least highlighted as a recommended alternative to this hint. I did not want to go replacing any System files like Craig mentioned you had to do (I didn't even bother looking at the link after I read that) and this is a very easy to understand solution that seems a lot less likely to break in a System Update.