When in Word I go to File/Info and copy link to clipboard, I get a link like this.
file:///\\server\folder\file
This works from Run dialog and you can insert this link in an Outlook message.
But when you edit a comment in Jira, insert a link and give this as address, the popup will not accept it.

The following also don't work.
file:///server/folder/file
[file:///\\server\folder\file]
[file:///server/folder/file]