There are some things you can do to improve performance when running against a shared folder.  Not all of these are feasible, of course, but:

1. If you use any exclusive mode that will notably improve performance.  Of course, it means only one connection can be opened at a time.

2. If you do shared read only (so no write access is allowed) that will also improve performance, but blocks all writes. 

3. Be sure you have connection pooling enabled - opening a connection takes longer over a network share.

4. Avoid explicit transactions - they are particularly expensive over a network link.

As to the second part of your question - we're not planning on doing much to specifically make this scenario faster because there's generally not a lot we can do (we're mostly at the mercy of the file server and SMB network protocol which has a significant penalty for file range locks).  That said we are doing some general improvements to the way the storage engine works and these will likely trickle down to improvements in this scenario.

In the end though, we recommend people avoid this and instead take advantage of the excellent networking built into .NET and make yourself a lightweight server - something that just knows how to answer the data access questions your application has.  By doing this you don't just improve performance, you dramatically reduce the risk of database corruption that can happen when network connections are interrupted.