Hi,
It means that somewhere inside your website you have a symlink (http://en.wikipedia.org/wiki/Symbolic_link) pointing to the root on the webserver, which means that a full backup would attempt to backup the entire server that the website lives on - this is detected and UpdraftPlus declines to do so.
If you ask your web hosting company, then they will be able to tell you where it is, and if it should be there or not.
David