Thank you for checking that.
I found the answer after looking at resource usage on the disk station.
Synology’s implementation of opportunistic locking in smb.
I guess I enabled this when working with a few Linux boxes due to (Lightroom catalog syncing issues)around the same time as the shield swap. Disabling it solves the issue completely.
For anyone finding this later -
File services, under smb. Click and advanced.
The direct play files now work instantly through the shield client or over WiFi.
Now I have to move my Lightroom catalog to a cloud service. ¯_(ツ)_/¯