A customer discovered the following behavior when they set up roaming user profiles on their domain. Consider two machines, 1 and 2. An application A is installed on machine 1, but not machine 2. A user with a roaming profile logs onto machine 1 and pins application A to the taskbar. That user then logs off of machine 1 and logs onto machine 2.
Now things get interesting: The taskbar on machine 2 initially shows a white icon on the taskbar, representing the nonexistent application A. A short time later, that icon vanishes. When the user logs off of machine 2 and back onto machine 1, the pinned icon is missing on machine 1, too.
The white icon is deleted automatically by the system because it sees that you pinned an application which is not installed, so it unpins it too. This general rule is to handle the case where you install an application and pin it, then somebody else unninstalls it. The taskbar removes the now-broken icon to reflect the fact that the application is no longer installed. There's no point having a shortcut to a nonexisting program, and it relieves application vendors the impossible task of cleaning up pinned icons upon uninstall. (It's impossible because some users who pinned the application may not have their profile locally present because it roamed to another machine. Or worse, the uninstaller tries to edit a profile that is not active and ends up corrupting the master copy when the two versions reconcile.)
The user profiles team explained that one of the assumptions behind classic roaming user profiles is that the machines participating in roaming be semantically identical: They must be running the same operating system on the same processor architecture. They must have the same set of applications installed into the same locations. And they must have the same drive letter layout.
But that's just classical roaming profiles. There are other roaming profile solutions, such as User Experience Virtualization, which may meet the customer's needs better. (I'm told that there are also third-party roaming solutions, though I don't know of any offhand, this not being my area of expertise.)