Hi @MattRognlie-8234 ,
It is by design. The way how this resolution work is as follows:
Lets say your Storage Account file share URL is abc.file.core.windows.net.
When you create Private DNS Zone, Azure Creates a CNAME for abc.file.core.windows.net to abc.privatelink.file.core.windows.net.
When you access this URL (abc.file.core.windows.net. ) publicly, we map abc.privatelink.file.core.windows.net. to another CNAME which inturn returns Public IP of your Storage Account.
If you try to access it via VM which is part of VNET linked to Private DNS Zone, the resolution of abc.privatelink.file.core.windows.net will return you PE Private IP.
Hence you will not be able to customize the DNS name in this case.