That's true, but if I logon with PIN-code instead of the actual Azure AD account, I can't access the on-premises file shares. Instead there will be a login prompt which by default asks your PIN-code again. If PIN is typed, the network resource is not found.
If I choose "another" account and type in my Azure AD account and password, I can access the file share.
So is this a known behaviour and is there a way to get around this other than disabling Windows Hello or type in your username every time?