Not an expert, but it sounds similar to the issue described at https://forum.syncthing.net/t/not-sure-how-to-set-a-proper-directory-to-sync-to/18377. Basically, your OS may be restricting each app’s access to a specific folder, so that it’s impossible to create folders outside of it.
How have you installed Syncthing in the first place? If it’s a 3rd party package offered by the NAS vendor, then you may want to try running the official binary from https://syncthing.net instead. This may not work if the OS is extremely restricted though.