Yes you can access Windows shares directly and play the media from there with no issues. I do it all the time.

I have a newer Zenbook and can confirm when I first got it, and wiped windows to put Ubuntu on it, audio didn’t work from the speakers. Headphones worked just fine. There’s a blog from some Asus dev community documenting the issues and resolution. I’m on mobile right now and can’t find it. I can confirm it was addressed on Fedora a few kernel releases back though and that all is well. I’ll post the blog link shortly. Per post above please provide your model number.

Edit: typos