Hello Panagiotis Basakidis,
the storage location configuration can only be used on on-premise systems. If you need to create file connections in a cloud system, the file needs to be uploaded to the DocuWare Cloud FTP Server. (Go to web configuration -> FTP)
You can find more details in this KB article:
KBA-35850
Hope this helps.
Greetings from Germany,
Simon H. Hellmann
DocuWare System Consultant