So this is a double-hop issue. That is, you authenticate to SQL Server, and then SQL Server impersonates you when running BULK INSERT. But SQL Server must somehow pass your security token to the machine with the file share.
A base requirement is that the query:
SELECT auth_scheme FROM sys.dm_exec_connections WHERE session_id = @@spid
must return KERBEROS. If it returns NTLM, it can never work. If you have KERBEROS, there are still SPNs and that, which I am not very good at, which must be in place.
I seem to recall that more people have reported that they have had these sort of problems with Windows 11 clients, so maybe things need to be set up differently when Windows 11 is in the mix.