This is the way we have recommended deploying PGP in a terminal services environment for years. However, we also offer customers the option to configure a specified location to store your PGP keyring files via Consumer Policy on the Symantec Encryption Management server (formerly PGP Universal Server) policy settings.
This issue with slow performance of Explorer.exe after installing PGP with the My Documents folder being redirected sounds like there could be third party software that is conflicting with our application. Also network latency could be involved in this problem. Do you have Symantec FileShare Encryption (formerly PGP Netshare) enabled on the machine?