Many peoples get the All Volumes function misunderstood in DPM. During my DPM courses I got a lot of questions regarding this.
When you create or modify a protection group and chooses to include a disk subsystem of a server you got the All Volumes check box. When you mark this check box you will include all the disks that are present to the system at this moment.
If you install a new disk or inserts a USB stick in the protected server this will not automatically be included in the backup that DPM preforms. You must modify the protection group and manually add the new local disk.