If you are trying to capture an image, then you don't need to specify an image file. Just the unc path location that you want the image to be reside. It will auto generate the name, LD follow by the machine MAC address. If the machine is already managed and in LD database it will be captured as that name. Also is your unc share a hidden share?
Are you logging into your console from a domain other than the location (your core server) that you want to save your file to? I can replicate your issue here from another domain (logged into core on domain "A", but trying to save image file to domain "B").
If so, try navigating to that folder first. It may need additional login credentials to see that path to create the script first.
If they ARE on the same domain, what I would try doing is login to the console via your core server, then try to save the script and see if you get the same results.
Let me know if this fits your current situation. We have over 6 domains here that require this so this is most common.