Failing to create Striped Backup with SQL VDI (Virtual Device Interface)

This is an incredible long shot, but here goes. We are making a utility for database backup, using SQLVDI API (Virtual Device Interface). The single backup was implemented without problems. But when we started to implement the striped backup (using virtual_device), we got an issue with IClientVirtualDeviceSet2::OpenDevice method. Our virtual device set is failing to open all devices. Only the first device is returned and on the second one we are getting VD_E_PROTOCOL error. Any suggestions would be greatly appreciated.

Our C++ code.

public: Void ExecuteCommandEx(System::String^ command, array<Stream^>^ commandStreamListIn)
{
    try
    {
        //Initialize COM
        HRESULT hr = CoInitializeEx(NULL, COINIT_MULTITHREADED);
        if (FAILED(hr))
        {
            throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "CoInitializeEx Failed HRESULT: {0}", hr));
        }
        //Get an interface to the virtual device set
        IClientVirtualDeviceSet2* vds = NULL;
        hr = CoCreateInstance(CLSID_MSSQL_ClientVirtualDeviceSet, NULL, CLSCTX_INPROC_SERVER, IID_IClientVirtualDeviceSet2, (void**)&vds);
        if (FAILED(hr))
        {
            throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "Unable to get an interface to the virtual device set.  Please check to make sure sqlvdi.dll is registered. HRESULT: {0}", hr));
        }
        //Configure the device configuration
        VDConfig config = { 0 };
        config.deviceCount = commandStreamListIn->Length; //The number of virtual devices to create
        //Create a name for the device using a GUID
        String^ DeviceName = Guid::NewGuid().ToString()->ToUpper(gcnew CultureInfo("en-US"));
        WCHAR wVdsName[37] = { 0 };
        Marshal::Copy(DeviceName->ToCharArray(), 0, (IntPtr)wVdsName, DeviceName->Length);
        //Create the virtual device set
        hr = vds->CreateEx(NULL, wVdsName, &config);
        if (FAILED(hr))
        {
            throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "Unable to create and configure the virtual device set. HRESULT: {0}", hr));
        }
        //Format the command
        List<String^>^ vdNames = gcnew List<String^>();
        vdNames->Add(DeviceName);
        for (int i = 0; i < commandStreamListIn->Length-1; i++)
        {
            String^ streamName = Guid::NewGuid().ToString()->ToUpper(gcnew CultureInfo("en-US"));
            vdNames->Add(streamName);
        }
        command = String::Format(gcnew CultureInfo("en-US"), command, vdNames->ToArray());
        //Create and execute a new thread to execute the command
        Thread^ OdbcThread = gcnew Thread(gcnew ParameterizedThreadStart(this, &VdiDotNetEx::VdiEngineEx::ThreadFunc));
        OdbcThread->Start(command);
        //Configure the virtual device set
        hr = vds->GetConfiguration(INFINITE, &config);
        if (hr != NOERROR)
        {
            throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "GetConfiguration Failed.  HRESULT: {0}", hr));
        }
        if (FAILED(hr))
        {
            switch (hr)
            {
                case VD_E_ABORT:
                    throw gcnew ApplicationException("GetConfiguration was aborted.");
                    break;
                case VD_E_TIMEOUT:
                    throw gcnew ApplicationException("GetConfiguration timed out.");
                    break;
                default:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "Un unknown exception was thrown during GetConfiguration.  HRESULT: {0}", hr));
                    break;
            };
        }
        int count = 0;
        array<IClientVirtualDevice*>^ vDevices= gcnew array<IClientVirtualDevice*>(commandStreamListIn->Length);

        //Open all devices on the device set
        //VD_E_OPEN may be returned without problem. The client may call OpenDevice by means of a loop until this code is returned.
        //If more than one device is configured(for example, n devices),
        //the virtual device set will return n unique device interfaces.
        //The first device has the same name as the virtual device set.
        //Other devices are named as specified with the VIRTUAL_DEVICE clauses of the BACKUP / RESTORE statement.

        while (hr!= VD_E_OPEN)
        {
            IClientVirtualDevice* vd = NULL;
            hr = vds->OpenDevice(wVdsName, &vd);
            switch(hr)
            {
                case VD_E_OPEN:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed. VD_E_OPEN.  HRESULT: {0}", hr));
                    break;
                case VD_E_BUSY:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed. VD_E_BUSY.  HRESULT: {0}", hr));
                    break;
                case VD_E_CLOSE:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed. VD_E_CLOSE.  HRESULT: {0}", hr));
                    break;
                case VD_E_UNEXPECTED:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed. VD_E_UNEXPECTED.  HRESULT: {0}", hr));
                    break;
                case VD_E_INVALID:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed. VD_E_INVALID.  HRESULT: {0}", hr));
                    break;
                case VD_E_NOTOPEN:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed. VD_E_NOTOPEN.  HRESULT: {0}", hr));
                    break;
                case VD_E_PROTOCOL:
                    throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed. VD_E_PROTOCOL.  HRESULT: {0}", hr));
                    break;
            }
            if (FAILED(hr))
            {
                throw gcnew ApplicationException(String::Format(gcnew CultureInfo("en-US"), "OpenDevice Failed.  HRESULT: {0}", hr));
            }
            vDevices[count] = vd;

            count++;
        }
        for (int i = 0; i < count; i++)
        {
            ExecuteDataTransfer(vDevices[i], commandStreamListIn[i]);
        }

        //Wait for the thread that issued the backup / restore command to SQL Server to complete.
        OdbcThread->Join();
    }
    catch (Exception ^ex)
    {
        Debug::WriteLine("VDI: Exception=" + ex->Message->ToString());
        Debug::WriteLine("VDI: Trace=" + ex->StackTrace);
        Console::WriteLine(ex->Message);
        LogException(ex);
        throw gcnew ApplicationException(ex->Message);
    }
}

The COM related code: (combaseapi.h)

#pragma region Application or OneCore Family
#if WINAPI_FAMILY_PARTITION(WINAPI_PARTITION_APP | WINAPI_PARTITION_SYSTEM)
_Check_return_ WINOLEAPI
CoInitializeEx(
    _In_opt_ LPVOID pvReserved,
    _In_ DWORD dwCoInit
    );

#endif // WINAPI_FAMILY_PARTITION(WINAPI_PARTITION_APP | WINAPI_PARTITION_SYSTEM)
#pragma endregion
_Check_return_ WINOLEAPI
CoCreateInstance(
    _In_ REFCLSID rclsid,
    _In_opt_ LPUNKNOWN pUnkOuter,
    _In_ DWORD dwClsContext,
    _In_ REFIID riid,
    _COM_Outptr_ _At_(*ppv, _Post_readable_size_(_Inexpressible_(varies))) LPVOID  FAR * ppv
    );