Holy cow, I wrote a book!
A customer reported some inconsistency in how folder customizations are handled by roaming profiles.
\\server\share
C:\Temp
C
Why doesn't the C:\Temp customization roam?
Well, if you think about it, it makes sense that the setting for C:\Temp doesn't roam because C:\Temp doesn't roam either! The C:\Temp on Server1 is not the same directory as the C:\Temp on Server2.
Let's change Step 2 slightly:
TEST
I think nobody would be surprised at the results of this second experiment. The changes to Library\Documents are there because that folder is part of your roaming profile. The changes to \\server\share are there because it is a global resource. And the changes to C:\Temp are not there because the first one is "C:\Temp on Server1" and the second is "C:\Temp on Server2".
The shell saves icon size customizations in folders differently based on whether it is a global resource (like a network share) or a local resource (available only on the local machine). Settings for local resources do not roam because, well, they're local and have no meaning when roamed to another computer.
The Documents case manages to get the desired effect, but by different means: Settings for libraries are based on how you customized the view via things like the "Arrange by" menu. Those customizations are saved in your roaming profile, and they therefore roam with you.