While doing a POC I gotten some difficulty in getting Persona Management to work even though policy was applied via Active Directory as well as even tried on the "master" VM used for creating the desktop pool. Here is a KB on it.
This is a screenshot on my customer environment apparently they have a global police in place to use only Local User Profiles so your persona will not work even settings it at domain policy or at local image policy. I log into one of the View Desktop and run rsop.msc (you would need administrator rights), to see what policy is applied in the domain. Some domain might take a bit of time up to 10mins to see the policy applied due to the number of policies they have in the domain.
Now before start any VDI solution, do note that not all policy are applicable to VDI desktop. Yes some might be helpful still e.g. Folder redirection instead of using from Persona Management, others like the one above would hinder you to have a floating profile setup.
Keep in mind to have it excluded on the VDI desktops and the easiest we would place these VDI desktop in a separate OU.
One of our consultant, Jason Yeo told me about Volume Shadow Service (VSS) requirement for Persona Management. Persona Management uses VSS to capture the changes of your profile and update the repository every x period (default 10mins). So make sure VSS service is not disable via policy in the domain or locally. It has to be in Manual status.
I did not find any KB stating this however I found this on the Windows 7 optimization guide so if you refer to page 21, Persona management require VSS as stated.
It always good to learn something new. Seems to find out more of Horizon View than before every time I touches it.