I had a similar issue as well but there are plenty of ways to go about this.
Either you can create a network share on the Zentyal client that the Windows Server mounts sand have a local script (or program) on the Windows side sync from it's shares to the Zentyal shares.
Another possible route is to create a cron job script that mounts the Windows Share and Rsyncs the folders accordingly. I can't speak from personal experience from the built in backup feature Zentyal has on the GUI portion but I have read around the forums of issues arising here and there for custom jobs.
There are tons of tutorials out there that help walk you through these processes you just need to find out what you need in terms of backup (frequency, back up job types, compression, encryption, ...), security, locations and what you are most comfortable working with.