SQL server agent unable to open step output file the step failed - mapped drives
Once you get the code straightened out for the local drive, you'll need to set permissions on the network share for the server's computer account since you are using the default NT Service account for the services. The computer account is the server's name and then a dollar sign. 

Example: Domain1\MyServerName$

MyServerName must be the name of the server, not the name of the SQL instance. Get the server name via hostname in a cmd window.

You would set the permissions on the remote server. RDP to it, navigate to the share and grant the access there. I am not sure for Azure how it works. But if this were a hosted server instead of a cloud server, it would be on the actual folder and not on the mapped network drive.