MozyPro uses Volume Shadow Service (VSS) to create backups for SQL Server. SQL Server 2005 has been designed so that VSS backups are consistent. Therefore, this is definitely the right way to back up SQL Server databases.
Here is a white paper on how SQL Server 2005 SQL Writer works with VSS.
Microsoft® SQL Server ™ 2005 provides support for creating snapshots of SQL Server data using Volume Shadow Copy Service (VSS). This is achieved by providing VSS (SQL writer), so that a third-party backup application can use the VSS structure to back up database files. This document describes the SQL Writer component and its role in creating VSS snapshots and recovery for a SQL Server database. It also captures information on how to configure and use SQL writer to work with backing up applications in the context of the VSS framework.
Here is the MozyPro manual (PDF) that describes how to restore SQL Server backups created using VSS.
If you do not trust this method, there is nothing stopping you from setting up the backup task and just making Mozy back up * .bak files.
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