Both roaming profiles and folder redirection are applied by a GPO that is assigned to the OU that has the terminal servers and that has loopback processing enabled.

Another option for setting the NoRedirect policy is to filter it by security group, then set that security group to be able to Read the main folder redirection GPO, but Deny applying it.

Resolve Folder Redirection group policy not applied in Windows using System Center Configuration Manager (SCCM) by following this tip.