I’ve set up a new VNET, peered it to the VNET to which Entra Doinain Services is connected and changed the DNS so VM is able to join MEDS, but not done it and just left it Entra ID Joined (tried that DNS-part as a step in the troubleshooting).
That should have been unnecessary, as I believe the connector only points to the private endpoint of the storage account, and FQDN of the Storage Accounts resolves fine, and the TcpTestSucceeded = True

I’ve also set up the private endpoint and GSA enterprise app, and set up the Storage Account to use Entra Kerberos (as well as granted the [Storage Account] app.reg. privileges.

I tested by opening up port 443 as well, and that made it possible to connect using Storage Explorer, but trying to navigate using the UNC-path keeps producing the error saying “Windows cannot access
\\.file.core.windows.net\. Check the spelling of the name. Otherwise, there might be a problem with your network…”.
I am, however, still being prompted for credentials (WHfB pin code) when trying to navigate using the.

It might best just to ditch GSA, ans stick with the old and trusty VPN. At least for a few more years.