Thank you for the links.
Meanwhile, we opened a ticket for this issue.
The "net use ..." command did not succeeded, and I suspected earlier (when I tried this before posting here). Is this the root problem? Since the appliance is not joint to our domain, should / would this still work?
In a nutshell: If the appliance is not on the domain, should I expect to use domain credentials out-of-the-box? Or do I need to join the appliance to the domain?
Actually, we worked it out on our own. (Wasted like a week on "support")
If you watch closely the authentication attempts between MVM <-> Target, you can identify if the security blobs are not compatible...
So go ahead, join the MVM to the domain (where no GP applies to it, just in case), and domain logins should magically starts to work.