Do the following:
Click Add on the new window
From the list, Select Resultant set of policy, click add then close.
on the Console Root window, right click on Resultant set of Policy, select Generate RSOP data.
Click Next on thw wizard, next, next, next, then next one more time on the Summary of Selections screen. This will collect the data for you.
Once it's done, click finish.
Expand out the tree. Look under Computer Configuration\Administrative Templates\system\
Do you see System restore there? what is it set to?