This is an expected behaviour as the XPe based unit are not stored user profiles other than the one of the inbuild administrator and user accounts.
You can verifiy this by editing the netxclean.ini in the windowssystem32 folder.
This tool (netxclean.exe) cleans up all other profiles. Allthough you can edit the netxclean.ini to save you profile also, I would not recommend this.
Profiles are the main reason why Wyse is not recommending to put Thin Clients in a domain. If you store all profiles locally on the client, there is a lot of space wasted and writing to much on the flash can shorten the lifetime of the flash.
If you have to do this, I stringly recommend to use Roaming Profiles.