If you enable "Enable Default Exclusion List - directories" policy from Citrix Studio, it might not work as expected. Following entry is recorded in User Profile Management (UPM) logs:
2018-03-16;19:09:25.611;INFORMATION;;;;1756;ReadPolicy: HDX policy DefaultSyncExclusionListDir disabled. Using an empty list.
To resolve this issue follow the below steps:
Method 1 (using Citrix Studio):
If you prefer to use Citrix Studio for policy management, enabling "Enable Default Exclusion List - directories" will not automatically enable all the folder exclusion policies as shown in the screenshot below. This means you must enable individual folder exclusion policy in addition to enabling "Enable Default Exclusion List - directories". This behavior is by design due to the UI of Citrix Studio. 
Method 2 (using Active Directory based Group Policy Object):
If you enable "Enable Default Exclusion List - directories" policy using Active Directory based Group Policy Object (GPO), by default it will enable all the exclusion list as shown in the screenshot below, and hence, no additional configuration is required.
User Profile Management: Default Exclusion List not working. Error: "HDX policy DefaultSyncExclusionListDir disabled. Using an empty list"