If a job created for Windows 2000 is being used to perform backup of Windows 2003 then this issue could occur because in Windows 2000 the system state is backed up separately, but in Windows 2003 the system state is a part of the Shadow Copy Components selection.
As an additional information:-
1) Title:- A backup of Microsoft Windows Server 2003 fails with the message "To fully protect Windows Server 2003, you must select Shadow Copy Components for backup" even though Shadow Copy Components were selected.
http://seer.support.veritas.com/docs/262317.htm
2) Title:- "To fully protect Windows Server 2003, you must select Shadow Copy Components for backup" (a000fefc HEX, e000fefc HEX, a0009419 HEX or e0009419 HEX) is reported during a backup after upgrading Backup Exec media servers or remote servers to Windows Server 2003.
http://seer.support.veritas.com/docs/258950.htm