If you redirect your "My Documents" folder in your host machine and you are using Special Folder Redirection, you receive an error message indicating that the folder cannot be found if you try to save in My Documents.
The Double redirection feature has a limitation which is that if the folder is redirected on the host machine when the session is opened, double redirection does not work. The ICA session must be closed and restarted to be aware of the new redirected folder.
This issue occurs because the Double redirection feature is not supported.