De acordo com a documentação, você precisa do Windows 8 ou do servidor 2012 porque precisa de um cliente que suporte smb3 Documentos do Azure
- Are Azure File shares visible publicly over the Internet, or are they only reachable from Azure?
As long as port 445 (TCP Outbound) is open and your client supports the SMB 3.0 protocol (e.g., Windows 8 or Windows Server 2012), your file share is available via the Internet.