When using "Universal Naming Convention" (UNC) for rule's path, the policy drops the first backslash and the policy is not applied, for example in UNC \\server-name\shared\folder\program.exe
After clicking "Finish" and checking the "Type" tab again, UNC path is changed to \server-name\shared\folder\program.exe
Resulting in the rule failing to match the program file.
Change the UNC from \\server-name\shared\folder\program.exe to *\program.exe this will validate the path.
This issue was resolved in version 4.1 The latest release of Privilege Manager for Windows can be downloaded from here.