I have found the problem.
To access the files my colleague was using a drive file path (210 characters long), where I was using the longer UNC file path (238 characters long). Reducing the path length fixed the problem.
For some reasons my SolidWorks (actually CAMWorks Solids 2017 SP 0.0.0) was not generating a "file path too long error". I'm not sure if this is CAMWorks specific, although in previous experiences SolidWorks would alert you.
Camworks Support a bug you can fix?