So I click help. On the help page is the warning:
Do not create or access a Berkeley DB repository on a network share. It cannot exist on a remote filesystem. Not even if you have the network drive mapped to a drive letter. If you attempt to use Berkeley DB on a network share, the results are unpredictable - you may see mysterious errors right away, or it may be months before you discover that your repository database is subtly corrupted.
I'm glad I clicked help rather than guessing the right thing to do, as this directory is on a network share. Why couldn't subversion just see that it's a shared directory and not give me the choice?