System Policies and User Profiles

I currently use system policies to set the message that pops up before logon on all our Win9x systems. However when I try to alter the policy to make the wallpaper and screen savers common to all PCs it does not work. I tried it on a test server I am running and it only seems to work with user profiles turned on in Win9x. My question is do system policies require user profiles to be setup on Win9x PCs when desktop properties are being set?