I play a bunch of games, old and new. My home network is a Microsoft based one with AD (Active Directory) and GPO's (Group Policies) handling folder redirection.
Games that came on or before 2003 or even a few years later don't support this at all. Either because the developers never heard of folder redirection or expect their customers to store their user folders on a networked drive or mayby it's just because they are lazy and couldn't care less.