I have a couple questions:
1. Do you have the "OST Profiles" share set up with the share permissions necessary for roaming profiles? You have to give authenticated users (or if you want to get more granular, your VDI users group) full control to the share so that they can create the new folders automatically and set the permissions.
2. Do you have the location of the OST file hard coded in your Office installation (or another GPO)? I had an issue with that when I first set up Outlook in View.
You should be able to use %username% within the location of the files. If you look at the copy of my GPO that I uploaded a few months ago, you will see that I point the outlook ost file to \\PERSONASERVER\Roaming\%username%\appdata\microsoft\outlook.
When you open up Outlook and configure the user for the first time, have you tried going into the Outlook profile created and under Advanced -> offline folder settings checking what is listed there? When building users for the first time, I sometimes have to go in and open that setting, hit "ok" and then it will say this location does not exist, do I want to create it. Once I hit yes and close Outlook and open it back up everything works great.