iMovie only works when run on a filesystem supported by Apple (APFS or macOS Extended). Your NAS most likely isn't running this file system for drives. Follow this guide to be able to run your iMovie library off a NAS.
- Open
Disk Utility
- File -> New Image -> Blank Image
- Use the following settings:
Name: your-name
Size: your size (eg 2000 GB)
Format: Mac OS Extended (Journaled)
Encryption: None
Partitions: Single partition - Apple partition map
Image Format: sparse disk image
One you have saved this, the disk image will mount as a fully functional disk which can then be used for iMovie - allowing your library to be stored on a NAS and accessed over the network.