I hadn't tried it but now I did and it worked.
I also tried setting the Utilities Export default file location to a UNC path and I was able to set it but when I try to go to it via the 'browse' button, it doesnt go to it. It does, however, use it when I export.
Also when I do File > Open, I'm not able to navigate to UNC paths via the 'Home' or 'Desktop' buttons on the left hand side of the window and am not able to navigate to a network location from the 'Locations' box.
Any ideas? I am on Windows 7.