Hi,
Welcome to share here!
I have heard some similar cases when users connect to the domain through VPN. They can't refresh the changes for folder redirection policy.
The situation may not be the same as you, the following comments just for your reference.
First of all, i would recommend you confirm that the issue was caused by:
The user can't refresh the group membership
Or the users can't refresh the policy changes.
You can check that by run the command :gpresult /h report.html to check the group membership in the report.
Based on my research, the refresh for the Folder Redirection needs the users to logoff and logon one or 2 times.
When refresh the policies changes during logon, the VPN should also be connected.
If the VPN didn't set to connect before user logon, the policy refresh for Folder Redirection can't be completed successfully.
Best Regards,