Hi,
In your situation, ,what's the result if you sign out and sign in again?
Firstly, In situations where you need for users to implement folder redirection in a single logon, apply a GPO with the setting “Always wait for the network at computer startup and logon ”to the computer. This setting is located under Computer Configuration\Administrative Templates\System\Logon in the Group Policy Object Editor. Update the group policy and then confirm the result again.
Also,based on my research, we need to connect VPN before login with our domain account.
Then configure VPN to be connected before login with our domain account.
Since don't have the Cisco VPN environment ,i'm afraid can't give more advice for the configuration.
Similar case for your reference:
https://social.technet.microsoft.com/Forums/en-US/b83b93a6-5663-4f56-95dd-057374cc37c8/apply-gpo-through-vpn?forum=winserverGP
Best Regards,