Hi,
Welcome to share here!
I thought it is a default behavior that the location file:// not displaying in the pkiview.msc
Here is the screenshot in my lab:
If you want make sure if the file share to the CDP locations is working , just check the users can access it successfully and the CDP are updated in the share folder.
For How to request certificate from a non-domain computer, please refer to the following link:
https://social.technet.microsoft.com/Forums/ie/en-US/098f858a-3e89-48d2-828e-274487033f6b/how-to-request-certificate-from-a-nondomain-computer?forum=winserversecurity
Best Regards,