Hi Roberto,
Try to close SED and open again making sure all pgp services from the Task Manager are "killed".
Once you run again the SED client it then should ask you to start all PGP Services again.
Now click on Update Policy from pop-up menu again to see if this can take any affect.
Other method would be to re-enroll the SED client to check if the policy is applied.
HOW TO: Re-enroll Symantec Encryption Desktop for Windows Clients
http://www.symantec.com/docs/HOWTO42029
Any of the above steps should work, if not check again if the users is in right goup for which you are applying policy. Also check if the SED client can successfully communicate with SEMS.
HTH