Internet Explorer: Not creating Low integrity folder when Application Data is redirected

Hi All,

I am currently testing a XenApp 6 environment on 2008R2. I am finding if I redirect AppData (in the default profile, not via group policy), IE wont create its Low integrity folder. 

We redirect the uses AppData folder to a network drive, I tried both redirecting to X:\AppData and \\unc\%USERNAME%\AppData, both work for other applications, but neither appease IE when creating its Low integrity folder.

We publish applications via seamless windows, <del>though if I do publish a desktop I don't think the issue occurs.</del> No the issue occurs in a full blown desktop session aswell

This causes all sorts of problems in IE, all I have to do is reset the AppData to the default location and IE functions correctly.

OR I can redirect the AppData folder and follow this KB:

http://support.microsoft.com/kb/973479

Here is a video I have of it: http://www.youtube.com/watch?v=Fa9VYoxRNoM