It turned out that newer versions of Windows (10 and 11) apparently do not allow showing mapped drives unless specifically set.

To address this, navigate in registry to:

HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\System

Create a new DWORD value called EnableLinkedConnections and set its value to 1.

Restart the computer and then the mapped network drives will show in the dialog box with correct drive letters.