Sorry that you're running into this. I haven't tested the non-saas experience yet. There's an issue to do so but it looks like you've beaten me to it!
https://github.com/pulumi/pulumi/issues/5254
I'll get that taken care of early next week, but for the time being you'll have to use the saas backend to tryout that example.
From browsing through the filestate backend, it would seem like it hasn't been updated to support these sort of stack names (I believe they should be supported).