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The glob() pattern in source:src/etc/ecl.php#L40 's get_disk_slices() implicitly limits the function to finding config.xml only on devices that have been formatted with a partition table (i.e. have slices).
In Microsoft Windows, smaller USB flash drives do not always have a partition table; the raw device is sometimes formatted, much like a floppy disk would be.
I can think of a few ways to handle this in the code, but frankly the easiest way to "fix" it is just to amend the documentation, especially given that it's no longer the common case.
I can attest that it's not all that rare, as the first two USB flash drives I tested with today, picked up out a pile of random drives, were both raw-device-formatted, not partitioned.

I'm not familiar with RST syntax, but I think the diff could look something like this (taken against HEAD today):

diff --git a/source/backup/automatically-restore-during-install.rst b/source/backup/automatically-restore-during-install.rst
index 354f4dd..26eb83f 100644
--- a/source/backup/automatically-restore-during-install.rst
+++ b/source/backup/automatically-restore-during-install.rst
@@ -39,6 +39,10 @@ target drive.

 * First, make sure to have a ``config.xml`` backup from the old firewall
 * On a DOS/FAT formatted USB drive, make a directory called ``conf``
+
+  .. note:: The USB device must have a partition table, and not formatted as
+   as raw device for this to function correctly.
+
 * Copy a backup configuration file to the ``conf`` directory
 * Rename the backup to ``config.xml``