I was tasked to make backups of our Sharpeoint 365 environment with Veeam. Not long on the first backup the first few warnings appear:
Processing site <sharepoint site> finished with warning: Cannot change web part export mode to ‘All’, because custom scripting is disabled for site:

This is caused if you have web parts on the site and with modern authentication, this is by default not allowed. The sharepoint administrator will have to manually enable the setting so that backups can be made.

To fix this issue, you need to do what the error tells you. Enable custom scripting.

1. You need to get into the Sharepoint using powershell, you will need the sharepoint module for this. if you do not have it, install it with
   Install-Module -Name Microsoft.Online.Sharepoint.Powershell
2. Connect to Sharepoint as an administrator using the following command
   Connect-SPOService -URL https://<tentantname>-admin.sharepoint.com
3. Run the following command to allow custom scripting on a page:
   Set-SPOSite <siteURL> -DenyAddAndCustomizePages 0

If you have a lot of sites, I highly recommend you to create a script with a foreach loop in it to automatically go through each URL that has issues with the backup. Unless you have a lot of time on your hands and you are bored, then by all means do it one by one. 

I think Microsoft warns you of this as well, but there are implications to setting this setting. It basically allows the execution of custom scripts created either by you or users that have sufficient permissions to edit the page. It's up to you and your organisation if this is a good idea to enable this. Otherwise you will need to find an alternative to this like removing web parts because there were not needed in the first place.