Your mentioned Registry Key is set correctly on the Clients.
I now somehow have problems to reproduce the error.
What happend is this, an obvious E-Mail Virus (VoiceMail.scr) was copied to the Desktop for further Inspection.But No Virus Scanner spotted the Virus by this time. After a while New Virus Definitions arrived, and after a while The On Access Scanner spotted the file without Informing the user.
I tried to reporduce this behavior, by copying the File from a Network Drive to the Desktop, and again no Notification.
Then I tried a Client without the EPO Agent installed and a Popup appeared.
But now on every Client with the EPO Agent if I try to copy the file, I get the Popup Warning.