Add replica from node 1 can't find node 2 while installing an Always ON AG lab on virtual machines
There are a couple of different questions here. 

Question #1


  
  'The following required directories do not exist on replica WINN02\SQL_AG_02 : C:\Program Files\Microsoft SQL
  Server\MSSQL14.SQL_AG_01\MSSQL\DATA.
  


While I would not put any database files on the C:\ drive, the error is saying that the 

C:\Program Files\Microsoft SQL Server\MSSQL14.SQL_AG_01\MSSQL\DATA

folder does not exist on the WINN02 VM, resulting in the database files not being found.

Resolving he issue 

You should move these database files first to a non c:\ disk and then check that both folder structures are the same with 

SELECT DB_NAME(database_id), physical_name FROM SYS.MASTER_FILES

If your C:\ drive is full, your VM's are done for. Resulting in a crash and possible corruption.

Question #2


  Cannot open backup device
  '\Winn01\nzfagsharefolder\BackupLocDb_cbbf8fb2-f6e8-4aa9-8995-675364932027.bak'.
  Operating system error 5(Access is denied.). BACKUP DATABASE is
  terminating abnormally. (Microsoft SQL Server, Error: 3201)


This error happens due to the ag creation wizard trying to take full &amp; log backups of the databases to later restore on the secondary instance. 

Resolving he issue 

You should look into granting the service accounts for both instances the FULL control permission on the \Winn01\nzfagsharefolder\location. And make sure that your user account has enough rights (sysadmin).

Question #3


  The problem seems about connection. So I made some connection test. 1.
  When I try to connect instance node2 via computer name, in node1, it
  shows connection error, attached the screenprint


The connection issues from node1 to node2 are a different problem. 

There are a few things to check, but if you can connect via IP you could look into DNS name resolving. 

Resolving he issue 

Using the FQDN to connect, looking into the tcp settings settings in the configuration manager such as the port used (E.G. changing dynamic ports to static ports). 

Another solution could be enabling the browser service.