Here is a current screenshot from my main PC.
The red cross (inside the green region) means nothing when it comes to "Create a System Image" (inside the yellow region). I make images this way ALL the time.
It means that until I plug in my HDD (partition in fact) assigned the letter "P" I cannot run a "File/folder" backup unless I change the default location using "Change settings"
I have said all this before. This is not an opinion guys this is a fact.
My understanding all along is that the OP is talking about doing a "Create a system image" - inside the yellow highlighted area.