Ephemeral mode for desktop causes the creation of uniquely named profiles each time the browser is started "Profile 1", "Profile 2", etc. and since the profile name is the key to the roaming profile data the roaming profile ends up not carring over data between restarts. Presumably this can be seen as working as intended but can as well be considered an issue that needs to be resolved in two ways - not enable roaming profiles (regardless of policy value) for ephemeral profiles or cause the ephemeral profiles always to use the "Default" roaming profile data.