Problem Solved. VMware VDP Backup User Configuration Tool must be "Run as administrator...". I must have missed that in the doc
Also, note in the log (dialog box in the configuration tool) that the created account VMwareVDPBackUser (mailbox) must be logged into (at least once) to complete the configuration. I use OWA to login.
The VMware install document talks about the user VDPBackupUser. The user created by this process is VMwareVDPBackupUser.