The file manager handles all the networking logic separately from the rest of the system. As in, it has its own set of software libraries for network discovery, UI layer, etc. In fact, the "desktop" itself is just an extension to the overall graphical environment that Zorin OS Core uses.
This is indeed a blessing and a curse in the Linux world: modularity and options, but often with less integration between components. As opposed to something like Windows or MacOS, with fewer options but much better integration between components.
Perhaps a separate distribution that uses the KDE desktop environment will be better suited. I'd suggest checking out Endeavour OS.
A possible workaround could be to create a new top-level directory in the NAS, and use that as the mount point.
Well, It's now been (almost) a month and it seems my move from Windows to Linux will not happen as the desktop version fails at the first hurdle.
Many thanks to those who tried to help me, but if the OS (or windows manager) can't let me create a direct link to the devices on my network (rather than the volumes/shares on them) then it is of no use to me as a desktop OS. Of course YMMV if this is not a requirement for you, but it was a deal-breaker for me.
Which is a shame. I am an enthusiast with multiple laptops, PCs, NAS, servers, SBCs, etc around the house. All the NAS, servers and SBCs use variants of headless Linux and are doing their job quite well. But it seems desktop Linux still has a few areas where it lacks. At least for me.
I'll try again in a year or two and see if this has been fixed.
Again, many thanks to those who answered my call for help.