There is nothing inherently wrong with using a UNC share. At a previous company we operated dozens of web servers and they all used UNC shares (not on DNN). There were over 80k paying subscribers of which 10's of thousands used the applications every day. It worked very well.
To address Mitchel's points:
1.) Single point of failure is only an issue if you make it an issue. There is plenty of redundancy available in the various SAN/NAS solutions.
2.) IO will not be an issue with any decent SAN or NAS. I have never had a problem with file system watchers. DNN doesn't directly use any, in the unlikely event that the built-in ASP.Net watchers created a problem I would probably disable them.
3.) I don't see security as any more of an issue than any other solution. You must be sure to control access to your files and setup permissions appropriately. With local disks you may choose to leave permissions more open than on a network, but you probably should secure both equally well. There is an extra configuration step related to using a UNC path. The extra effort around configuring security will be minuscule when compared to the weeks if not months of effort involved in creating a site that is worthy of a web farm.
I totally agree with Mitchel's opinions on why not to use file synchronization.
I know there are some people out there running DNN sites with file synchronization. I don't know of any who have not had to work around issues caused by the file synchronization. Personally I doubt that getting a site running well with file synchronization is cheaper than using a UNC on a SAN once you count the labor spent sorting out the quirks of file synchronization.