The remote agent cannot access a file located on a Distributed File System (DFS) Share for a file watcher job. It fails with error "File not found". The job owner is a local administrator but it is not allowed to access the DFS Share.
The problem was related to permissions on the DFS Share.
The solution is to provide access "explicitly" to the Windows account used to start the Remote Agent service on the DFS share.
Hence the remote agent could access the file under the DFS Share.
Being a local administrator does not suffice and access for DFS shares have to be explicitly given.