It takes a long time, or up to 2 reboots for DeviceLock settings to be applied to client computers via Group Policy.
By default, Group Policy gets refreshed every 90 minutes. DeviceLock needs Group Policy to be applied twice for DeviceLock Service to be installed and for DeviceLock settings to be applied.
- Force Group Policy refresh with "gpupdate /force" command on the client computer
- Reboot the client computer.
You can use this Microsoft article to troubleshoot Group Policy problems, too: http://technet.microsoft.com/ru-ru/library/cc787386(WS.10).aspx