Roaming Profiles inheriting IE esc and other IE security settings from TS 2008 R2 server

I've recently set up a terminal server for remote access purposes, I'm using roaming profiles for all users as all clients use W7. I'm seeing some strange behaviour when they log on to the server though: Currently their IE settings are not at all configured in Group Policy, when they log in to the terminal server with their roaming profile they seem to inherit the "IE ESC is not configured" home page along with several other Internet Explorer settings, even though they'd already logged on to their own computers and used IE on those.

Do I have to set group policy for all users to over-ride these settings, can I set it on the TS server instead and will this avoid their profiles inheriting settings from the server?

Thanks