When you go to the shortcut link and then enter it, you will see the name of your shared nas volume.
You cannot map this to the videowall. Only folders BELOW this volume name can be linked.
So e.g make folders on that volume called Thriller, Animation etc.
Place your movies in subfolders of those genre folders, every movie in a separate folder.
Now make a shortcut link to the videowall by putting the cursor on one of those genre folders (e.g. Thriller) and selecting the videowall icon.