It's actually called the "second hop" issue, and yes, that's the problem. You're asking the remote machine to go to a UNC; it has no credentials to present. And yes, CredSSP would be one way to address the problem, as outlined in "Secrets of PowerShell Remoting."
You could also modify the share permissions to accept non-authenticated (anonymous) connections. That's different from "Everyone" or "All users."