This post in the Apple discussions board seems like it might be related.
http://discussions.apple.com/thread....5116�
Incidentally, I tried to create the sparsebundle on the NAS using Disk Utility and received the same error as djc.
From the disk utility log:
2009-08-31 19:02:59 -0400: Creating Image “test.sparsebundle”
2009-08-31 19:02:59 -0400: Initializing…
2009-08-31 19:02:59 -0400: Creating…
2009-08-31 19:02:59 -0400: Formatting…
2009-08-31 19:03:00 -0400: Finishing…
2009-08-31 19:03:01 -0400: Unable to create “test.sparsebundle.” (Operation not supported)