I was asked by a customer last week, "What is the best way to really find out what is happening to my Group Policies during the Logon Process".
My answer is ....use Userenv logging. If you do not know what that is check out the following Webcast http://support.microsoft.com/kb/835302
Plus also kbarticle. http://support.microsoft.com/kb/221833
Once switched on it will enable you to literally read the Workstation Logon process, to ascertain whether for example the reason you policy is not getting applied is due to slow link detection.