I dont quite understand what you mean. the my documents is redirected and that does seem to work.
Stupid question, but does the "user" you're trying with, actually have access to the redirected share you're trying to use? My understanding was as you're effectively trying to share the "redirected" part, you'd need access on it to do it? Thus option appears on their files, but not overall share. May misunderstand that though, but does it work with an account that has access to the share? aka you :P