by Luis de Vasconcelos.
And FYI... Having $CFG->dataroot point to a UNC share on another server does work - on Windows at least. You just need to escape the '\' slashes.
$CFG->dataroot = '\\\\path\\to\\some\\network\\share';
has worked for me for a few years on a Windows Server instance I run. Just make sure the network connection between the two servers is super fast.