I came across the same issue as reported by OP, so I dug a bit further into the source code around DeterminePathSeparator and got it to output the filename that it didn't like.

It turns out that this error can occur when a filename has a %5C in it on Azure File Shares, e.g. sample%5Ctest.xml

The filename is "decoded" into sample\test.xml

So the Azure file path is then

https://......../folder/sample\test.xml

You can't see this using Azcopy list command.

Logged https://github.com/Azure/azure-storage-azcopy/issues/2977