I found out that I cannot input a file share location during SQL Server 2014 installation, under Database Engine Configuration -> Data Directories tab -> Backup directory (I could do it in 2008 for sure)
Therefore I had to input a local Backup path, and change the setting after install
I always thought I had to hack the registry (something like changing the key value in Computer\HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Microsoft SQL Server\MSSQL10_50.MSSQLSERVER\MSSQLServer, value: BackupDirectory)
But instead there's an easier way, by using SSMS -> right-click and choose "Facet"
The old registry way - Changing the default SQL Server backup folder
The NEW Facet way - Changing the default SQL Server backup folder