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Connect to SMB on Microsoft 365 managed user account

In our small (6 people) company, we use Microsoft 365 to manage users and their MS Office licenses.

Users log in to computers using PIN code to an account configured in our company domain – a very simple setup with Microsoft 365.

We try to connect new Synology NAS to our computers as an SMB share, so I created a share and account in Synology system.

However, when I try to map a network drive, Windows asks for a PIN (like to a Microsoft account) and then says it can’t connect to this SMB share.
I can choose to use a different account, but then Windows asks for email and password (while the SMB share requires username and password) and then says it can’t connect.
I have tried giving both current logged in employee and also Microsoft 365 admin’s credentials – no change in behavior.

When I connect my private computer (that is not in company domain) to company’s WiFi I am being asked for username and password and everything works perfectly.

How to make Windows (on the company’s administrated PCs in domain) to display username/password login screen to SMB instead of asking me for email/Microsoft account?
Or maybe we should reconfigure something in Microsoft 365 / AzureAD, to give privileges to this user (and workstation) to access this network resources?
How to setup it up in a proper way?
The simplest solution is most welcome.

I can reconfigure NAS any way I want because this is a brand new device.