Same here. I had (for the first time ever) Apple Support on the phone. At first Junior, then Senior support, I might mention. Finally the suggestion was to reinstall (10.12.1) and see if the problem is gone - he would call me back the next day. So I did:
- Reinstall (back to 10.12.1) which fixed the problem (of course I might say after reading this thread)
- Right after reinstalling, I upgraded again to 10.12.2 - problem was back
- Reinstalled again to have it working.... Stay there for now.
While sitting on hold, I tested creating som dmg- and sparsebundles-images and moved them back and forth... confirming what John Galt says about beeing able to open them locally. I was lucky enough to have 2 Time Capsules and 2 Macs (1 new MBP 2016, 1 MBP 2014 with ElCapitan) around me, so I could already narrow down the problem to the 10.2.2-upgrade.
When support called me the next day, I reported back and he said I should stay in 10.12.1 for the time being and he will take this issue further and they might call me back for more information.
Bottom line: there was not a hunch that this was intentional (or the support guy wasn't quite updated on this one). Neither does, in my opinion, the type of error message you get.
rtm808: Where is the "Like"-button for "...this is a bug, not a feature"?