consequences of slow and non reliable storage for the splunk indexes are :
unreliable data (corrupted data in hot buckets)
poor indexing and search performance.
Therefore remote mounts, NFS, etc... are not recommended.
For UNC, CIFS you should run some tests. In general local hard drives are the way to go.
And In case of lack of space, keep the hot buckets in the homePath on local/fast drived local and the coldPath on the slow/remote storage.
read the indexes.conf configuration to understand how to achieve this.