This can be caused for two reasons:
If the schedule is configured to have anonymous authentication to the SMTP server, ensure credentials are configured (even though they are not being used). To add credentials, edit the schedule for the report. After enabling "Send Email" click "Configure Mail server". Next to the Account field click the ellipse button "...". Configure credentials here, they do not have to be added as the account used to connect to the SMTP server, they just have to be configured. VSTS004292
Ensure the account running the schedule as well as the Enterprise Reporter Server service account have access to the share. Both will be used during the report generation and email. Defect ID VSTS003788
Both of these defects were found in 2.6 Hotfix #3. They will be resolved in the next hotfix or full release of the product.