We've created Group Polices with the FEP 2010 Group Policy tool to deploy our FEP polices. I've noticed that when I look / edit the policies in the Group Policy Management Tool, the File Exclusions section shows 'disabled' even though we've added exclusion. They show up in on the clients in the FEP interface. My question is, do we need to 'enable' the exclusions in all our FEP GPOs to make them truly work?

Try check and reproduce this in the latest version of Forefront which is System Center Endpoint Protection and check if problem persist.