Confluence doesn't really support UNC links - the web links expect a protocol to be used and UNC doesn't have one, which tends to leave a lot of systems flailing for the information they need to be able to connect.
If your file sharing system supports some proper form of url, and the clients your users are using understands it, you can use that in a web link. Otherwise, I'd suggest writing a user macro that can assume the missing information.
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