Trying to create the snapshot, I received an error message:
Directory lookup for the file "C:\Users\my_user_name\Documents\AdventureWorksDW2 014_Data.ss" failed with the operating system error 5(Access is denied.).
I tried opening SSMS as Administrator, but that didn't help. I tried specifying a file destination on a flash drive but received an error message about the destination not supporting a 'sparse' file type. Eventually I tried a destination at:
FILENAME = N'C:\Temp\AdventureWorks2014_Data.ss'
and the snap creation succeeded.