The data will always go through the core. See this post for some insight into why.
Given the cost/density of hard disk storage these days (there are 6 and 8TB 3.5" drives out there now, and 2TB SSD’s if that’s your cup of tea), I changed my setup a few months ago, and am now storing music directly on the server machine (with periodic backups to a NAS in case of drive failure). I’ve been very happy with that decision. Local access out-performs my NAS, and my network is doing way less work.
When I get some time, I think I’ll find a cloud backup service, use that instead, and turn off my NAS for good.