Recently one of customers asked me simple troubleshooting question – why users on Terminal Services can’t use "Open as Web folder” in IE? First answer is simple – because it is grayed out :).
But why it is grayed out? Look, Terminal services == GPO in most cases. Answer was simple, but this customer has looked for it for a while so to provide answer for others.
This behavior is being controlled by “User Configuration -> Administrative Templates -> Start Menu and Taskbar ->Remove Run menu from Start Menu" GPO setting. Not very obvious if You think about it but this is the one which You should set to Disable or ot defined to enable this checkbox again.
Of course this also brings back Run menu … probably not something desired in Terminal services environment.
Simple thing to memorize.