#1 Make sure that your 'User Notification Service' is turned on.
From Agent configuration, the following tabs
User Interface Service > Do you have 'Enable End-User Notification Popup' selected?
Miscillanious > Do you have 'User Interface Service' enabled?
Request Justification > Do you have this enabled and configured?
#2 Have you rebooted since enforcing this policy? It requires an agent restart to take effect on some of those settings.