Hello, we have already quite a lot of users on El Captain, and there was no report on any particular problem related to El Captain.
So I doubt this is due to upgrade.
The dialog you see pops up because Espionage gets informed by the OS that the sparse bundle cannot be unmounted which means the folder cannot be locked, because there is a file on the disk image which is still in use by the process:.......
The trouble is that sometimes we cannot figure out which process it is, this is why there is no text after the colon in the dialog box, normally there should be an application name.
There is no way around this limitation, it is identical to the situation when you want to eject an external hard disk or usb stick and you get a popup from OS X saying that the device cannot be ejected because it is in use...
So it could help if you would tell us what kind of file it is you keep in that protected folder, or which application you use to process those files. Normally closing all documents from the folder should be sufficient, sometimes you have to also quit the application, as it keeps some open handles on the file even if the document is closed, but sometimes not even that helps, you have to log out and log back in, or even reboot.
This usually indicates a poorly written application, although we had a similar problem with Apple Mail, so app being Apple's does not necessarily mean it is well written.
You can try to narrow down the problem by opening certain types of files only, from the protected folder, until you figure out which one is the problematic one.
If things start to act strangely, then do not mess around or panic, just stop and let me know, then I can try to help you before you delete something by accident...
Let me know if I can be of any help,
Rgds
Zsolt