To make the UNC notation work, you need to run:
DBCC TRACEON(1807)
This allows the SQL Server to understand the UNC notation.
We run our backups to an NAS device and it works fine.
----------------------------------------------------------01010011010100010100110000100000010100110110010101110010011101100110010101110010001000000101001001101111011000110110101101110011