I just found out the reason:
From the group policy editor:

Do not check for user owership of Roaming Profile Folders.

This setting disables the more secure default setting for the user’s
roaming user profile folder.

Once an administrator has configured a users' roaming profile, the
profile will be created at the user's next login. The profile is created
at the location that is specified by the administrator.

For Windows 2000 Professional pre-SP4 and Windows XP pre-SP1 operating
systems, the default file permissions for the newly generated profile are
full control access for the user and no file access for the
administrators group. No checks are made for the correct permissions if
the profile folder already exists. For Windows .NET server, Windows 2000
Professional SP4 and Windows XP SP1, the default behavior is to check the
folder for the correct permissions if the profile folder already exists,
and not copy files to or from the roaming folder if the permissions are
not correct.

By configuring this setting, you can alter this behavior.

If you enable this setting Windows will not check the permissions for the
folder in the case where the folder exists.

If you disable or do not configure this setting AND the roaming profile
folder exists AND the user or administrators group not the owner of the
folder, Windows will NOT copy files to or from the roaming folder. The
user will be shown an error message and an entry will be written to the
event log. The user’s cached profile will be used, or a temporary profile
issued if no cached profile exists.

Note: The setting must be configured on the client computer not the
server for it to have any effect because the client computer sets the
file share permissions for the roaming profile at creation time.

Note: The behavior when this setting is enabled is exactly the same
behavior as in Windows 2000 Professional pre-SP4 and Windows XP
Professional


No wrote in
news:Xns93AA72E29190nobccom@216.113.192.29:

> Hello,
>
> I hope this is a new one....
>
> I've never been able to load roaming profile using WinXP (SP1) on a
> Win2k Server Ad enviroment. All our machines are Win2k and roaming
> profiles work. But now after updating one Win2k client to SP4, the
> client cannot load roaming profiles, just like WinXP.
>
> It doesn't take a while to log on either, the error message below
> comes up immediately after the log on screen
>
> "Your roaming profile is not available. You are logged on with the
> locally stored profile. Changes to the profile will not be propagated
> to the server. Contact your network administrator.
>
> DETAIL - The network request is not supported. "
>
> Note that our profiles are stored on a separate Server in a share
> (Snap Appliance 12000). Not on the \Profiles directory. I'm thinking
> that Xp and SP4 doesn't see that for some reason??
>
>
> Can anyone help??
>
> thanks
>