SetDpmServer failed with errorcode =0x80004005, error says: Unspecified error

SetDpmServer failed with errorcode =0x80004005, error says: Unspecified error

This is caused because you don't have all the default rules in advanced firewall.
When you stop the firewall service (MpsSvc) , and then execute the setdpmserver command, it works.

Please be aware that stopping the firewall service could prevent your connection with the server.
I made a simple .bat file to set the DPM server:

net stop MpsSvc
"C:\Program Files\Microsoft Data Protection Manager\DPM\bin\SetDpmServer.exe" -dpmservername dpmservername
net start MpsSvc

Update:

If you add the following predefined default firewall rules, the setdpmserver.exe runs fine:

Windows Management Instrumentation
Remote Service Management
File and Printer Sharing