I have a vague idea why that may be happening.
I believe the credentials for the share are probably in some secure windows storage that isn't unlocked until you actually log in. I don't really know why it doesn't then connect once you've logged in. I've seen more or less the same thing in the past for windows systems connecting to samba shares.
If it's causing you trouble you could probably create a quick login script that behaves similar to clicking on the drive in explorer.
dir Z:\
That might cause it to connect right away when you log in.