Does the XP machine still exist in AD? If so could you check what OU it's in then see if there's any group policies applied to it which might contain the document redirect settings.
Also are you logging on to the 8 machine as the same user as you did with the XP machine? Users objects can have the home drive set to point elsewhere (i.e, the server) although it wouldn't necessarily have document redirection on.
And yes it could of been a local settings that had been changed manually.