If you suspect that your roaming user profile is not being saved to your profile server, inspect the %SystemRoot%\Debug\UserMode\Userenv.log file on your local computer for an entry similar to:
USERENV(bc.a4) 11:44:12:592 RecurseDirectory: LongFileName is too long. src = C:\Documents and Settings\<UserName>\UserData\<LongFileName>
This behavior will occur when there are file names longer than 260 characters in the profile. The My Recent Documents and Favorites folders often contain Web links that have file names longer than the 260 character limit.
To workaround this behavior, rename files that are longer than 260 characters, or exclude these folders from your roaming profile.