SQLIOSIM fails to run when using UNC path
Well, technically I'd solved the problem, although there's still question about weird sqliosim behavior.

It appears that sqliosim do creates it's files in shared NAS folder (sqliosim.mdx, sqliosim.mdx) but for some reason I can't explain, it fails to resize files and aborts.

Workaround:
Create files before sqliosim run, with exactly the same size it expects, 
I.e:
fstool file createnew \\SERVER\shared FOLDER\sqliosim.ldx [size in BYTES]

Repeat the same action for sqliosom.mdx
Now run sqliosim and make yousrlf a coffee. :)

Thank you.
Sam