Thanks for your response Vincent.
I'm not 100% sure on what you suggested "Using exactly the same address Musicbee is using, what happen if you browse or copy a couple of files from NAS to PC using Explorer?"
I'm able to go into the folder where all the music files are stored on the NAS and browse, play (with MB) or copy files using Explorer.
The other unusual thing is that I have MusicBee installed on 2 other PCs on the same network accessing the same MB libray folder on the NAS
I don't have this problem on either one of them. When I open MB on one of the other PC's, which is in the same room as the NAS, you can also hear the NAS start working, but no "Background tasks running" message when I close MB.