C:\Program Files\jre7\bin\java.exe -jar "C:\Program Files\Sahara\GyroUI.jar"
Ended up being the solution, the problem was being caused by the application crashing, not by the shell failing to launch.
Question
I've tried setting the Custom User Interface GPO option to
java -jar GyroUI.jar
as well as using the full path
C:\Program Files\jre7\bin\java.exe -jar GyroUI.jar
But neither seem to result in anything except the desktop background.
I know this works normally as I can run the jar file just fine using the command prompt, and I get the UI as expected.
Solution
C:\Program Files\jre7\bin\java.exe -jar "C:\Program Files\Sahara\GyroUI.jar"
Ended up being the solution, the problem was being caused by the application crashing, not by the shell failing to launch.