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.
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