There's no way to do it from Digital Editions itself.
You can do it by making directory junction (on PC, and I'm sure Mac has something similar).
On each machine you wish to use Digital Editions you need to use mklink to make a link from the default location for 'My Digital Editions' on that OS to the shared version on the NAS.
Move the directory and any files you already have from .../My Documents/My Digital Editions to wherever you want them.
Open a command prompt
Navigate to .../My Documents.
Type mklink /d "My Digital Editions" "wherever you put the directory"
The new directory does not even need to be on the same drive.
For example, if you have the NAS mounted as Q on a machine with ADE installed