try to run cmd as local system (http://blogs.msdn.com/adioltean/articles/271063.aspx) on a client hdlp system and execute "echo 123 >> \\server\evidence folder\123.txt" file appeared on the server?
How many domains in your environment?
Workstations running DLP agent and the server ePO are indeed in different domains.
Can I use the command "psexec.exe -i -s Cmd.exe" to check the rights on the folder Evidence using the command "echo 123 >> ......"?
Try once with giving everyone access and see if you still get the same error!
It's more of a windows access control issue than HDLP.
I solved the problem by adding the group "Domain Users" instead of "Domain Computers" as mentionned in the McAfee Installation Guide.