>>In the options dialog don't chose append, chose overwrite.
>
>As you may have seen, there is no dialog here. I simply run the command. I have resolved the issue by simply delete the .bak file. However, this keep appending new backup to the existing file. So, I found the INIT clause. However, I cannot combine COMPRESSION and INIT in one backup command line. Has anyone succeeded to do that?

As I said, create a different script. Do it from SSMS, in the Options tab chose overwrite. This will create a different script.

I had the exact same error and this is how I solved it. I can check the exact script I used, but tomorrow.