Thanks Prakhar,
I actually am logging in with a Office365 account, which shows as AzureAD\JorikCaljouw.
But it is interesting you mention AzureAD. I was expecting the PIN vs password issue for network shares to not be exclusive to AzureAD logins. So to double check I created a local user account mounted the same drive (also here my login username/password is not the same as the network drive credentials). Then I added a PIN sign-in and low and behold...
It does work with a local account! Good to know.
I will post my query at TechNet forums now. But it's probably good for others to know (if they find this), that the issue seems to be only with Office365/AzureAD accounts with PIN.
Regards,
Jorik
This was actually meant to be written from the same user as the Topic Starter, but I wasn't careful enough and the link from email opened the page while being signed in with my private Microsoft Account instead of my Business Account. The joys of using multiple Microsoft Accounts (1 for private, 1 for business and 1 for a non-profit organization...)