Why does linked server need delegation where as file access require no delegation settings?
This happens as the ssis is not involved in a two hops windows authentication process.
As you said you use a proxy so you impersonate an account that is used directly against the CIFS share.
Instead with a linked server you are doing a two hops windows authentication:

Local sql server
target of linked server

To avoid two hops in ssis, don't use linked server. Instead use a direct connection string.