You have a folder redirection GPO configured, but it doesn’t seem to be working. Nothing is redirecting and you aren’t sure why.
[EDIT: Jose in the comments points to the best TechNet article on this topic that has very clear instructions. Refer to that.]
There are a couple of ways to figure out the problem on this particular error. You can right-click the Documents folder and choose Properties only to see that it’s pointed to the local disk instead of the file server. Better yet, look at the SYSTEM event log and you’ll see an error like: Log Name: Application
Source: Microsoft-Windows-Folder Redirection
Date: 11/2/2012 2:56:40 PM
Event ID: 502
Task Category: None
Failed to apply policy and redirect folder “Documents” to “\XXX-1Profilestest-userMy Documents”.
The following error occurred: “Can not create folder “\XXX-1Profilestest-userMy Documents””.
Error details: “Access is denied.
… That event log tells you everything you need to know with this particular error: There is a permission problem. Chances are very high that you have the share permissions set to where Everyone is Change only or similar. It should be the following on both the share and NTFS security: Everyone:F, This folder only Administrators:F, This folder, subfolders and files CREATOR OWNER:F, Subfolders and files only SYSTEM:F, This folder, subfolders and files only