Hi
Ideally the policy shall apply when it finds the user for the first time.
However Quick thoughts
Need to understand the network topology?
Incase your VLANs are defined on MX there shall not be an issue. However if your VLANs are on the Core you may try to enable "Track clients by IP address" and test the functionality.
Security Appliance->Addressing and VLANs-> Client Tracking -> "Track clients by IP Address"
Regards,
Ajit
AjitsNW@gmail.com
www.ajit.network