Here's my 2cents worth. I've had the same problem when doing a single course backup. I simply couldn't find the file. The on-screen display seemed to end with the zipping of the file but I couldn't find the actual zipped file.
I finally found it located in the MoodleData folder under TEMP\BACKUP\numbered folder(s)
Each of these folders contained the zipped files that I was looking for after having done it several times.
Hope this helps. Good luck.
Bill
Backup and restore
Backup stops at Zipping Backup
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