Prompt user to change password before expiration

Hello,

I have a Windows Server 2008 R2 RDS solution which provides a full desktop to my end users.  I have the computer GPO setting that prompts users to change their password before it expires.

The users are being correctly notified - however when the user clicks on the notification (bunch of keys in the taskbar), the notification disappears and then nothing happens... isnt a change password prompt supposed to show up?

This issue probably relates to the fact that we have have the servers locked down - its just knowing which setting we need to relax to enable this.

Thanks in advance.