Hello sko,
we are using local Links too to refer to documents on our local network shares.
The format for a link to L:\03-Marketing\03-Web is
[Link-title](file:///L:/03-Marketing/03-Web/)
For this to work in Firefox, we are using this addon:
one handy way to convert the Windows Path to a file:/// link is to paste it into the URL-Bar in Firefox an hit enter. Then copy the resulting URL to your clipboard.
It is a partly manual process, but maybe it will be useful for you or someone else!
Kind regards,
Sebastian