You would have to try it to find out if that would work, but I don't
think I would recommend it for several reasons.

1) I suspect you'll get conflicts when several Query servers  try to
gain access to the Index file  to update it at the same time

2) One the reasons for the current design is to get the LARGE Index
file onto local disk access of the Query server. If you store it on a
Network File share you defeat the purpose and will probably slow down
Query performance. Changing the default  location of the local copy is
to allow you to put it on another physical drive, not across a network
connection.

If this is what you really want you would be better off just designating
one or two dedicated Query servers to be used by all the WFE servers.

You will have 3 distinct copies of an index  on that share.

Thank you, that makes sense. If I have an opportunity
to test this out I will post my findings.