SQL Server 2008 R2, error creating file for FileStream
Turned out to be an HBSS issue.  Typically, I would have had this turned off during install but the environment I'm working with is particularly secured where you can't have HBSS set to "learning mode."  

it turns out that filestream creates a registry key for each directory created and these exceptions have to be in place before creating the filestream enabled "file".

HBSS stands for Host Based Security System. Ours is a McAfee product. It's an incredibly powerful tool that is unrelated to SQL server, but on systems that require it, you will encounter strange problems like this with little to no explanation.