I think I have found a bug in Emby 126.96.36.199 on Synology.
On my NAS I have groups instead of direct permissions.
So ONLY the group has direct permissions.
When I added the Emby user to the group of the folder for the library, I was not able to choose the folder.
When selecting it just disappeared (just like when you have no permission).
So, when giving the user direct permission it worked like a charm.
I guest this is not as it supposed to be...