Hi Abdess,
You can narrow down the issue by making few changes in the path location
1) Instead of using some shared location, try to use the BO server Drive to save the LCM Files.
If it works, then we can confirm that scheduling is working fine and check the next step.
in Next step,
2) we need to change the UNC path. I think you have given //servername/shortcut (Shared folder).
insted of the i would request you to give the complete path of shortcut as below
//servername/g(Drive)$/FOlder/Subfolder/Shortcut.
before changing the path try to run the path in Run prompt and check , wether you are able to access or not. Some times DMZ server will not be able to access the shared folders from out of DMZ.
Make sure that you are using valid accounts to access the folders in both the cases.