Moved to Web gateway area for a better chance of an answer
so what is the exact error message you are getting? Which options have you selected to create the backup. Maybe if you can provide some more details we are able to help you out.
2. You should be able to restore the configuration to a newer MWG version. However if you have support from McAfee, you can make a quick call or open a ticket for confirmation. If you have the same version as a virtual appliance, you can restore the configuration, then upgrade the MWG to newer version.
hope this helps