SQL Server Express won't support multiple users legally, and from a practical perspective it won't perform very well either.
Assuming you get an appropriate SQL Edition, the question is just a technical issue.
Storing the files themselves in the file system and storing the location (such as a UNC name) is easy and efficient for users that are part of your domain. You can simply launch the appropriate application with the file name as an argument, and the app will open as though the user had just double-clicked the file in the WIndows Explorer.
Storing the file data as a BLOB means that the application needs to be more sophisticated, but it is easier for the user to install and manage. The app needs to retireve and reconstitute the files when the user needs them. The app needs to understand everything about the data and the associated application(s) to ensure the user's experience.
In theory, theory and practice are identical. In practice, theory and practice are unrelated.