Classic Shell respects the group policies that have an API to retrieve them:
http://msdn.microsoft.com/en-us/library/windows/desktop/bb762534(v=vs.85).aspxIt also gets the location of the Start Menu and Programs folders from the system, instead of hard-coding paths. I don't know if your particular method of redirection will work.
I tried using a UNC path on my home network and it works just fine. The icon shows correctly and the contents show up in a sub-menu. I only used the Link and the Label fields.
In your case, does the [empty] sub-menu open right away? If you double-click on the item itself, does the correct folder open in Explorer? Also, is it possible your files are hidden or system? Such files don't show up in the menu.