When ePO - On-prem and evidence server are not on the same domain, you must configure the group policy settings on Windows to download evidence files from Incident Manager.
On your evidence server, open the Local Group Policy Editor.
Go to Computer Configuration → Windows Settings → Security Settings → Local Policies → Security Options and configure these options:
Network access: Let Everyone permissions apply to anonymous users: Enabled.
Network access: Shares that can be accessed anonymously: <evidence_share_folder>