Great questions! Azure Active Directory joined devices could be all you need depending on your requirements.
There are a few things to consider here when it comes to file shares.
Take a look into Azure File Shares and Azure File Sync - Sync can be used at least to get your data into the Azure File Shares.
https://azure.microsoft.com/en-us/products/storage/files
What I've seen done as well, is files migrated from file servers into SharePoint and Teams. So for example, Finance team have a Microsoft Teams channel and their files are stored in the Files tab in teams, then files are synced to the device: [https://support.microsoft.com/en-us/office/sync-sharepoint-and-teams-files-with-your-computer-6de9ede8-5b6e-4503-80b2-6190f3354a88