Rob,
All good questions I'll try and answer below:
1. AlwaysOn backups on replicas: only Full and Transaction Log backups are supported on secondary replicas. Because of this SQL Server limitation you end up with limited locations for Fast Compression since it uses differential backups. You can either run them on the primary or skip them in the case where you want to implement custom jobs for those databases. It wold be possible to run the full backups on the secondary and the differentials on the primary, but Fast Compression does not support that (yet). As you noticed, when running Full backups, you get additional options.
2. You didn't ask, but I thought I'd mention it. Licensing SQL Server with AlwaysOn. My understanding is Microsoft grants a single free license for a secondary replica used in an AOAG, but it's only free if you only use it for failover - meaning you don't use it for backup or read-only querying. If it's active for those tasks, it may require a license.
3. Backup locations: Microsoft recommends you use a common share just for the convenience of having all backups in the same place, but it's not required. You're already doing this as best as you can given the db overlap. When you restore, and depending on which instance in the AG is being restored to, you will either select the option to restore from the database which pulls backup info from msdb, or restore from a disk device and select them manually. You can always use the disk device option if you want to manually select though. In LiteSpeed, currently, you would have to restore the full without recovery and then run the restore wizard again and restore all the Tlogs in one pass with recovery. In a future release you'll be able to restore all backups at once even if they were created on different replicas in the AG.
4. Spotlight: I'll pass your comments onto the Spotlight team.
Thanks.
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David Gugick
Product Management
Dell Software | Data Protection