If I understand your request correctly, the file share physically resides on your SQL server box, correct? And your stored procs refer to \\servername\..., which is the local box? If this is all correct, I believe it's a local call and won't go over the network. I always use server name as opposed to a local path so that if I move SQL to a new server, as long as my file repository remains the same, I don't have to change anything. One caveat, my file shares are always a separate machine, not my SQL Server box. But that's MY setup.
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