Windows 7 - Problem with GPO to force Screensaver

I created a policy to enable the screensaver, lock changes, apply a timeout, and lock the machine. It appears that the GPO is being applied since the following values are currently in my registry:

HKCU > Software > Policies > Microsoft > Windows > Control Panel > Desktop
ScreenSaveActive - 1
ScreenSaverIsSecure - 1
ScreenSaveTimeout - 120
SCRNSAVE.EXE - MSCF.scr

And if I go into Run and enter "MSCF.scr" it brings the screensaver right up with no issues.

But the screensaver never comes on and the computer never locks. And if I go into the control panel to select a screensaver is currently shows "None"

Dave