This is one of those issues where users eventually learn the best practice, or better practice, but Esri doesn't want to come right out and document it. Although hosting file geodatabases on network drives/shares is "supported," it is also discouraged in many ways.
Over the years there have been Esri, Microsoft, VMware, and possibly other bugs that impact the functionality or integrity of file geodatabases on network shares, e.g., Problem: NIM090672: Specific Microsoft updates may result in data corruption with file geodatabases ... and Error: Failed to create feature class. The item was not found, [ItemType:{70737809-852C-4A03-9E22-2C...
Additionally, there is a reason for warning 10027 (10027: Layer's data source is referenced via a UNC path) when preparing GIS services for publication.
There may be a performance disadvantage when using UNC paths because network file access is typically slower than direct disk access on your local computer (using absolute paths), which can affect map drawing performance.
However much map drawing performance might be affected, geoprocessing performance will be affected even more because it is more I/O intensive than simply rendering maps.
I am not saying don't use file geodatabases on network shares, we do in the organization I work for now and have since as long as I can remember, but it is important to be informed and aware of the tradeoffs when doing so. For heavy geoprocessing, I tend to avoid file geodatabases on network shares if at all possible, both for performance and stability reasons.
