Remote Desktop Services Roaming User Profiles do not get created when you activate this policy.
I have found this in both 2k8 and 2k12 servers so I know it is not an anomaly.
Open Group Policy Management Console -> Navigate to:
Computer Configuration/Policies/Administrative Templates/Windows Components/Remote Desktop Services/Remote Desktop Session Host/Profiles/Set path for Remote Desktop Services Roaming User Profile
You should see the box below:
As the box above indicates, do not follow the instructions. Add the %USERNAME% variable to the end of the path.
The final path should look like this: \\server\terminalprofiles\%username%
On each terminal server, run "GPUPDATE /FORCE" then try to logon as a user. Assuming the rights on the share and security tabs on the folder\\server\terminalprofiles are correct, you should see a new folder being created in the form USER.V2.
Thanks,
Robert