I did not see a reply out here so I thought I would put my 2cents in here.....
I have struggled in a couple cases but normally this can be set.
The issue that I have had most times is that the Windows agent's service normally runs as administrator. Running as administrator gives it full authority to everything on the server but does not allow it to access to anything on the domain. To resolve this, you can try running the agent as a domain user instead....The agent can be modified to run as a domain user by right clicking on the windows service itself. It is best a best practice to set up a special service account ID instead of having it run as a real user that may leave the company.
Another solution is to have a persistant mapped drive to that NAS share and reference it as a local drive. (ex T:\mapped drive)
2cents
Don Powell
.