No users are identified by the TSA (Terminal Service Agent) on a particular terminal server or the users are identified correctly but only the default CFS policy is applied.
The web request of the user is proxied by a web filter service on the terminal server.
One example for this is the Sophos web filter included in the Sophos endpoint protection.
Because of the proxy the connection will be incorrectly identified as originating from the user that the proxy runs under (usually local system account) instead of the actual user that tries to view a web page.
To identify this issue do the following:
Enable verbose logging on the SonicWall Terminal Service Agent for the particular terminal server
Login a user on the terminal server
Try to browse to a website that no other user will currently use (ideally one with only a single IP, for example www.cork.ie which resolves to 22.214.171.124 at this time)
Open the Terminal Service Agent and view the logs
In the logs, search for the IP of the website that you tried to access
You should see which user was identified for this particular connection
If this user is not the user actually trying to access the website, chances are that the connection was proxied
Disable the proxy functionality of your endpoint protection suite.