Hello,
no, it's not your fault - it's a bug.
Unfortunately, I discovered it after the last release :(
But luckily there is a workaround:
Close SQL Workbench, then open workbench.settings with a text editor and add the line:
workbench.workspace.backup.dir=backup
the actual value doesn't really matter - the directory does not even have to exist.
Then you can open the options dialog again.
Sorry for the trouble.
Regards
Thomas