I had this same problem. What fixed it for me was enabling the "Roam 'Local Settings' or 'AppData\Local' with the user's persona" policy. You have to add the administrative template ViewPM.adm to your group policy for your virtual desktops to have this option.
you can find all of the ADM templates on your connection server at c:\program files\vmware\vmware view\server\extras\grouppolicyfiles
another possibility is a problem with the permissions at the root of your persona share.
