The trigger was a specific settings in the Azure files feature. The "Secure transfer required" option is located in the below. When it is enabled, the problem occurs. When it is disabled, the problem starts to work without any problem.
Azure Portal ->> Storage accounts >> (specific storage account) >> Configuration in the Settings section >> "Secure transfer required" option.
The "Secure Transfer Required" option enable usage is NOT supported as the external storage for the session recording on the r3.2.x.