Actually the answer is rather simple in this case. This requires knowing how VMWare Horizon works: it can be setup with (I forget the exact terminology now), but the VM Pools can be created as dynamic: when a user logs in, they get a random available VM, or dedicated, which would actually assign a VM to the user. My guess is that they are using a dynamic pool, so every time the user logs in, they are reaching a new VM, that doesn't have a local profile, so it prompts for the theme.
Solution for this can be one of 2 options:
- 1 - Create a static pool, so that each user has a dedicated VM
- 2 - Establish roaming profile policies, so that the user's documents are retrieved from the same location.
Assuming they're not doing a refresh on their Horizon VM Pools: Eventually, all users would've probably hit most machines, that prompt will start showing up less and less, but it's standard practice to refresh the pool as part of regular maintenance.