Community Wiki answer generated from comments on the question, from Bob Klimes, Sean Gallardy, and Aaron Bertrand.
You'll need to enable Instant File Initialization (IFI) on the server holding the disk. Restart SQL Server for it to take effect.
You can test if IFI is working on the share by creating a database on the share with trace flags 3004 and 3605 turned on. Output is written to the SQL Server error log.
If IFI is working, there will not be any entries for zeroing the mdf file.
IFI does appear to work with network shares, but for me the creation of a test database took 45 seconds on the share and less than 1 second locally. Even with IFI enabled, you might still have performance problems.
