Hi,
The option is in the settings of the guest.
When you uncheck that option, the machines is placed in a saved state (The same as you saving it manually) - then the snapshot is taken of the machine and brought out of a saved state. The resumed guest will not know anything happened, it's
data will be operational and intact. The condition of the operating system (and database) after restoring the VM from a DPM backup is that of a "Crash Consistent" state, meaning the integrity of the data inside the guest would be the same as if the system
had crashed or lost power and was rebooted. It's not exactly a perfect solution, but will be the easiest and quickest way to get the server back up and running should you loose the whole VM and till have a really good chance that the DB integrity is intact.
Your only other option would be to deploy a DPM agent inside the guest and use a pre-backup script to launch a native backup of the database using vendor tools, then have DPM backup the folder containing the output of that native backup.
Using pre-backup and post-backup scripts
http://technet.microsoft.com/en-us/library/jj244602.aspx