Backup files opened for write enables you to back up files that are open while the backup is in progress. Files that are open for writing (also files that are open for shared reading) can be backed up. However, files open only for exclusive writes cannot be backed up.
The danger in backing up files that are open is that there is no guarantee of getting a copy of the file at that time. An open file might be modified during the backup process, producing inconsistencies in the backup copy.
You can use specific applications to properly back up open files.