Many VDI deployments are non-persistent, which means IT spins up individual virtual desktops from a master image to be shared among all the users. The desktop reverts back to its original state when users log out, so nothing they do to customize the desktop will save.
For IT, the setup of a personalized desktop is a win. It improves image manageability and security while reducing storage needs. For the user, however, it can be frustrating and confusing. It's important for IT to communicate to users that their settings won't save so they know before they waste time making changes.
The counterpoint is persistent VDI, where each user gets his own desktop that runs from a separate disk image. This approach gives the user much more freedom, but it creates a more complex environment for IT to manage.