A missing DIRECT STATEMNT file from VMSECURE's 191 disk will cause this message to be generated.
The DIRECT STATEMNT file is created by the VMXGNR utility during installation. The installation documentation indicates that the installer should log on and run VMXGNR on the VMSECURE user ID. The output from VMXGNR is expected to stay on the VMSECURE user ID's 191 disk.
Scan logic is used by more than the end user interface in the product. The other interfaces had requirements to reference the DIRECT STATEMNT file. So, though the end user interface documentation for SCAN does not reference this requirement, the product does assume the file is there.
VMXBKP01 will also use the DIRECT STATEMNT file if it exists to create the DIRECTORY statement in the backup output file it creates. However, it also can dynamically create it based on information from the configuration file DIRECT statement. It puts out a record that uses the real address of the directory volume. If you issue Q ALLOC DRCT, that should allow you to confirm what VMXBKP01 puts in the DIRECTORY record in the USER DIRECT output from VMXBKP01 is correct.