I used my account for proxy. I am sure I can access files in that directory.
The job does not fail so there is no error. It does not fail because it thinks there are no files to process, sense the variable never gets set.
Just playing with some tests, I created a send mail task that simply sends some variables that get set in the loop(File name,ext). it returns blank in the email when run in SQL job, but when run in BIDS, the email returns valid variables that where set