You aren't the first person to complain abot this problem. My guess is that you have a conflict of your system somewhere. Maybe you are using a StyleXP logon program too. Or maybe you have used something else in the past and it corrupted your system files. Try this.
In Logon Studio, Under options, put a check in "Autoswitch user when Logon applied" This way if you load the logon correctly, you will see it immediately.
Also, I had trouble with the random feature with logon studio, mucking things up. Open msconfig and uncheck any references to logon studio. All you will lose is the ability to randomly switch logons, but it seems to fix a lot of problems with the program. The program automatically runs anyway and the redundancy was causing my system to crash on startup or logon studio to crash on startup. Maybe this will fix your problems too. Good luck.