System cannot find the path specified, failing to create VHD

I have been going in circles trying to figure out why FSlogix is failing to find the path to create the VHD.  If a user has access to the VHD storage location after they log in why is FSLogix failing to create a VHD for them?

To sum up the issue:

• New install, Win10 Azure Virtual Desktop with Azure Files share for storing VHD.
• FSLogix settings controlled by Group Policy, confirmed they are being set in local registry
• Have tried several accounts, same results
• FSLoigx reports that the path cannot be accessed
• But the user can open the path and create files/folders.
• Running latest FSLogix release

Screenshot of errors:

From the FSLogix troubleshooting page with what I have done to figure this out.

• Compare the current values of Status, Reason, and Error to the documentation https://docs.microsoft.com/en-us/fslogix/fslogix-error-codes-reference.
  • What the logs are reporting - status 6, reason 5, error 3
  • 6 = There was an error determining the path to the VHD/X file.
  • 5 = five is not listed in the documentation
  • 3 = The system cannot find the path specified.
• Verify all prerequisites have been met
  • As far as I can tell I have met all prereqs
• Is the https://docs.microsoft.com/en-us/fslogix/configure-profile-container-tutorial?
  • Yes
• Do you have a valid file system location in the https://docs.microsoft.com/en-us/fslogix/configure-profile-container-tutorial?
  • I can copy the path from the logs, the one that I have set via group policy, and put that in explorer and it opens up the folder without error.  
• Does the user have appropriate permissions to the VHD(X) file on the file server?
  • I can also create files and folders in the location defined to store the VHD
• Is the user a member of the local FSLogix Profiles Include group and NOT a member of the FSLogix Profiles Exclude group?
  • Is a member of include and not a member of exclude
• Does a local profile already exist for the user?
  • No local profile