I successfully added a File System connection for my local C: drive. However, I have a NAS which is mapped to N:. I've been trying unsuccessfully for a few days to get it to work. It is going through the same gateway. I've tried various versions of domain\username. I've tried both N: and \\My-NAS and nothing seems to work. Here are the error codes that I'm getting depending on the formatting of my domain\username.
Error code: '403', Message: 'The credentials for this connection do not have access to '', please try using a different location or account. clientRequestId: 5A2ADDE9-7AF3-4025-A206-F5B6BE5B2E9B'. More diagnostic information: x-ms-client-request-id is '5A2ADDE9-7AF3-4025-A206-F5B6BE5B2E9B'.

(I think this is the one when the domain\username is incorrect.
Error code: '400', Message: 'The requested action could not be completed. Check your request parameters to make sure the path '' exists on your file system. clientRequestId: 7ABEBEEA-A547-4284-9502-FE34E2FE4105'. More diagnostic information: x-ms-client-request-id is '7ABEBEEA-A547-4284-9502-FE34E2FE4105'.)
Thanks in advance for any help.