I am way more of a SQL developer than a DBA, but I believe the root problem lies in the fact that thru EM the only backup devices you can use are those that exist on the actual SQL Server machine -- hard drives, mapped drives, tape drives, etc.  Therefore, thru EM I have no way to make a backup of a DB on the SQL Server onto my client PC.  Just doesn't seem to be a way.  As a result it's more a limitation in the MS tools than it is with the DB hosting provider.