The problem here is the client software has no idea about the file IO going on at the server. The server is completely separate which gives you the robustness and speed of REMOTE vs. LOCAL.
Your best bet in 99% of your cases will be to do any file IO at the serve (if it is actually needed).
For example, use #temp tables for temporary tables instead of creating normal tables and manually deleting them when done.
Use Drop table instead of delete from the client app / OS level
Another option would be to write an AEP to perform file IO at the server.
As for the C0000006 error this has nothing to do with Advantage. This can be seen without Advantage on any application. Your best bet in this case is to install the application on each of the actual Remote Desktop machines and get it off the network share.