Hi GianGA,
Have a nice day!
Are you a new build strategy? Normally doing this based on what I replied to, I get a screenshot like this. My reply was also edited based on what I tested. If you are not a newly created strategy, you can try creating a new strategy to set it up. If the path issue still exists with the newly created policy, make sure you are logged into the computer as an administrator. Otherwise it could be a corrupt group policy file.
Best regards
Neuvi Jiang