I get that mainly from three different reasons...
1. The person got impatient and just shut the computer down without letting the profile copy up.
2. There was a slow network connection, and the person logged in with cached settings. A bunch of people logging on at once and burrying the network could cause a slow network connection to be detected
3. THe person is on a laptop, and logged in with cached settings on purpose.
If you're choosing no to use the local profile, then you'll need to have the person do a start and shutdown and let the profile copy up completely at that point (although it may take some time) befor ethat message will go away
The other option is to just let them to use a local profile instead of roaming, but then you're stuck with having people either having to setup their own stations when they move, or pointing their desktops and profile folders back to a network drive
Good luck to you
Mark