There is a seemingly related but frozen topic on this from a decade ago. Surprising this is still happening to people.
This on a Macbook Pro M1 (16-inch, 2021), running Sonoma 14.4.1 (23E224)
I have a shared folder containing all my music which is not an Apple Music / iTunes library. It has read access for everyone.
I set in Privacy & Security > Full Disc Access: added Sonos and restarted it.
It isn’t connecting, here is the error dialog:
I’m not sure what username/password it’s complaining about. I’m giving it the admin credentials.