I noticed this myself but wasn’t too worried about it as I was the only person affected.

Then the problem started occurring to other people.  Roaming profile problems can be fun to diagnose.  Fortunately, for Windows 2000 and XP, Microsoft made it easier to debug roaming profile problems by allowing you to enable user environment debug logging.

So I did that, and here is an extract of the debug log:

USERENV(2ec.2f0) 18:14:14:077 RecurseDirectory: Adding E:\WISEFAQUSER\UserData\ to the list of directories
USERENV(2ec.2f0) 18:14:14:092 FindTotalDiskSpaceNeeded: Largest file size is 107997719
USERENV(2ec.2f0) 18:14:14:108 Available        4132864
USERENV(2ec.2f0) 18:14:14:108 Needed        118797490
USERENV(2ec.2f0) 18:14:14:108 Src size        224588779
USERENV(2ec.2f0) 18:14:14:108 Dest size        225320099
USERENV(2ec.2f0) 18:14:14:108 Largest hive file        18087936
USERENV(2ec.2f0) 18:14:14:108 CopyProfileDirectoryEx: Not enough disk space on <E:\WISEFAQUSER\>
USERENV(2ec.2f0) 18:14:14:171 CopyProfileDirectoryEx: Leaving with a return value of 0
USERENV(2ec.2f0) 18:14:14:171 UnloadUserProfileP:  CopyProfileDirectory returned FALSE for primary profile.  Error = 112
USERENV(2ec.2f0) 18:14:14:202 ReportError: Impersonating user.
USERENV(2ec.2f0) 18:14:14:202 ReportError: Logging Error <Windows cannot update your roaming profile. Possible causes of this error include network problems or insufficient security
USERENV(2ec.2f0) 18:14:14:202 ErrorDialogEx: Calling DialogBoxParam
USERENV(2ec.2f0) 18:14:14:218 ErrorDlgProc:: DialogBoxParam
USERENV(2ec.2f0) 18:14:26:677 UnloadUserProfileP: Writing local ini file

The underlying problem was not enough disk space on the roaming profile share on the server.  A cleanup of the end-users non-business related files resolved the disk space issue.

For Windows Vista and later, the log information is stored in the Event Log.  Under Applications and Services Logs\Microsoft\Windows\Group Policy\Operational.  Further information on this can be found in this Microsoft Technet post, Group Policy Logging on Windows Vista