As Denny says, make sure that you are editing the "proper" policy for the machines you want the logon to appear. Preferably domain policy, not local.
Denny, correct me if I'm wrong, but won't the "require Ctrl-Alt-Delete" also have to be set? I've never tried to set the "logon text" without having ctrl-alt-delete set, so don't know if that could be a cause too?