I tried the registry change a while ago, and found that it didn't actually work. ActiveSync would no longer Sync files properly. I think ActiveSync was still remotely looking at the My Documents folder, even though the device knew the sync was supposed to go into SD Card\My Documents. Or something like that. Anyone else play with this registry setting? From the page below, it appers to be a common issue, but there is another tweak on the site (linked from the discussion) which actually redirects the card to mount directly into My Documents, but that's not something I really want to be doing.
Here's the page from
PocketPC Tweaks