I guess that could cause complications. I don't know much about how these servers work, nor do I know anything about MySQL (other than it being used for databases and stuff). However, I assume that you wouldn't want any writing to the SQL database while backing it up. Basically, some of the data relies on other data, or at least requires synchronization with it, and so if some values change while backing up, a desynchronization could occur (as already backup data would not be updated).
Just my guess though.