OK!!!
Icorriero - Try to disable ManagementConsole\Personalization\windows settins\Windows Explorer
Log on to aVDI, and your start menu should work.
I beleive that there is a conflict between registry settings in Windows Explorer and your policy that makes this issue.
I have created a ADMX based setting where i point to a default startmenu layout i created: https://communities.vmware.com/thread/541280?start=0&tstart=0
So now i next issue is that it takes like 2-3 seconds when i click on start button, until the startmenu appears.