We are running a Terminal service server. When our users connect, and they change the default printer, when they log off and log back in, that setting wasn't saved and the previous printer is de default one again. Is this something in the profile that isn't saving on the server?
Is the rest of the profile (e.g. filesystem objects added to the Desktop or "My Documents, settings for software like Microsoft office which is saved in the user's registry) being saved? If so, you might either be facing some automated solution (probably a logon script) just resetting the default printer to some preconfigured device or have the option to use the client's default printer as default in the TS session enabled/not enabled, so the default printer gets reset on every connection.
What's the default printer on their computer? In general (unless configured otherwise at the server or via GPO or on the user account properties) the default setting is to make the default printer on the client computer the default printer in the TS session.