Make sure you have the write filter turned on. No policies will apply without the write filter.  If you are configuring items in the "WYSE Easy Setup" portion of the policy, you have to make sure you have Easy Setup installed on the device [URL]    
I've checked out a spec sheet and it was mentioned that the 5010's Windows 7 Embedded works with Wyse Management Suite. We've tried to setup using KIOSK mode, Application mode and using RDP. None of these are working. We are able to use the VNC function. The machine has WDA 14.2.0.5 installed.
Wyse Management Suite - 5010 D90D7