After some investigations I noticed that the user account was member of the "Domain Guests" build in group. Apparently this group membership makes the roaming profile to be temporary (and never saved to the share). Due to the lack of error messages (or information messages) this was hard to find out of.
I have searched the Internet for some good information about "Domain Guests" but didn't find much useful information:
- Using Default Group Accounts
- Profiles for Members of Guests Group Are Deleted