PowerShell command 'New-Item' fails when invoked through SQL Server Agent job
When accessing UNC paths, or any 'location' that isn't a local drive (i.e. registry), from a PowerShell job step, you need prefix the path with Microsoft.PowerShell.Core\FileSystem::. This tells SQLPS which provider to use, which isn't required in normal PowerShell but is required in the SQL Server implementation.

Alternatively, you can change directory beforehand to a local drive (cd C:) and it should then work without prefixing the provider name, but you may want to stay in the default SQLSERVER:\SQL\SERVERNAME\INSTANCENAME path depending on what your script requires.

More info:

https://dbatools.io/agent/

https://social.technet.microsoft.com/Forums/windowsserver/en-US/ec7f3ae8-d196-459e-b9dc-e6ed0df93004/running-powershell-from-sql-server-using-unc-paths