that is generally not a problem. _fsm is the "Free Space Map" file (http://www.postgresql.org/docs/9.4/static/storage-fsm.html). It's OK and normal, that files change or even disappear within PGDATA directory during backup - because the Postgres cluster is still operational. Those changes end up in the WAL files and that is why you need those from the start of the backup. This is also described in the manual:
"Some file system backup tools emit warnings or errors if the files they are trying to copy change while the copy proceeds. When taking a base backup of an active database, this situation is normal and not an error. However, you need to ensure that you can distinguish complaints of this sort from real errors. For example, some versions of rsync return a separate exit code for "vanished source files", and you can write a driver script to accept this exit code as a non-error case. Also, some versions of GNU tar return an error code indistinguishable from a fatal error if a file was truncated while tar was copying it. Fortunately, GNU tar versions 1.16 and later exit with 1 if a file was changed during the backup, and 2 for other errors. With GNU tar version 1.23 and later, you can use the warning options --warning=no-file-changed --warning=no-file-removed to hide the related warning messages."
