I'm experiencing tonight, but it seems you need to format your HDD to NTFS if you want to back up your games... I tried on an exFAT HDD with Assassin's Creed IV: Black Flag (and III) and now I have to redownload both games.
I downloaded "Liberation" to check whether NTFS would work, and it does. More to come...
(Basically, trying to locate a game which is on an exFAT partition will bring an error message, but it seems it happens even when you don't try to launch the game while it's backed up.)