Even with the Backup options enabled, it still "nags". I have them all enabled (except for the "Desktop"), yet I still get the regular "nag" message.
Maybe there is some other configuration or setting missing that I don't about, as it always shows "0 KB Backed up".
EDIT: Maybe it is because I redirected all my OneDrive folders on to my local folders. In other words, my "Documents" is actually the "OneDrive/Documents", etc.
I would say you're still getting the "nag" either because "Desktop" is not enabled, or because of the failure to sync.
The failure to sync is an entirely different malfunction, so you should probably open a new topic for that to get help. It would take more investigation to determine why the sync is failing.
The folder redirection you show is normal -- that is what happens when selecting the Onedrive "backup" option; the selected user folder locations (and their current content) are moved into the Onedrive folder, so they get synced as part of Onedrive.