Hi,
This seems to be a bug and has been reported over and over: When you log in using a password everything works, when using a PIN, the NAS cannot be accessed.
Unfortunately, I was unable to spot this bug for several hours and most of my working day got wasted trying to correct my NAS' configuration... However, I eventually ended up finding the solution more or less by accident (as I could not identify the relation to the PIN login). While Microsoft has still not fixed this (the first bug reports date back to 2015), there is a solution:
Use the Windows search for "Credential Manager" and select "Windows credentials". Remove any preexisting entry for your NAS and add a new windows credential entry using the following structure:
Server adress: \NameOfYourNAS
Username: NameOfYourNAS\Username
Password: ...
With this solution you should be able to access the NAS even when logging into Windows with a PIN. However, it may not appear under network drives. If so, simply enter \NameOfYourNAS into the explorer address bar to access it. From there you may also add a shortcut to the navigation.
Credits for this solution go to the user tumas04 on reddit:
https://www.reddit.com/r/Windows10/comments/3fi7o5/psa_having_a_pin_to_sign_into_windows_will/
Hope this will save others some time and nerves... Cheers!