UNC paths are not supported by CMD.EXE
One very annoying "feature" of windows is that cmd.exe, the MSDOS command interpreter, does not support UNC paths. Double clicking a batch file (.bat) that is accessed through a UNC path (\\server\share\...) will not be able to run.
I found that a registry key can be used to switch off the check. Microsoft warns that it may result in processes started from the session may go wrong.
Use regedit to go to the the entry:
Add a value:
add the value DisableUNCCheck of type REG_DWORD and set the value to 1 (Hex).
I added a .reg file to import this setting easily. Use at your own risk!