If they are running on a 64-bit machine, have they set the execution policy for both 32-bit and 64-bit PowerShell? It could be that they set the policy for 64-bit PowerShell and NAnt is firing up 32-bit PowerShell (or vice-versa). Another way to work around this if you're on at least PowerShell 2.0 is to set the policy when invoking PowerShell e.g.:
PowerShell.exe -ExecutionPolicy RemoteSigned ...