Multiple Windows Servers on One (1) Domain

This may be a simple question, but I am very confused here...

I have a Windows Server 2003 Domain. The set the Domain Security
Policies. Now most of the machines are showing indications that the
Domain Security Policies took... However, some are not...

My question is this... When I have multiple Windows Server 2003
machine (each different roles) connected to one (1) Domain Controller,
should I logon to each server locally, or should I logon to the Domain
each time?

If I've never logged on the Domain from a server, would this effect
the fact that the Domain Security Policies have not come over...?

Thanks,
Inetsoldier