I've had a look at the logs and I can see in the "set" log the redirection isn't happening. I have tracked this issue back to the UPM tool I use with Windows 7 to copy to the default profile. I ran up a brand new Win 8.1 image and rolled a new pool and it's redirecting. I then changed the background only and used UPM to copy the profile to the default and recomposed.
As soon as I did this the pool stopped redirecting, so I rolled it back to prior to using the UPM tool and redirection starts working again. So looks like I will have to start over with my pools which is a real shame unless I can figure out a way of fixing what ever it is UPM causes to break on Win 8 and 2008 Srv.
Thanks for the KB article on the logs, that was very helpful.