Me too. Nothing happens when klicking the Unlock button.

Behaviour:

When gdmsetup is started from the System>Administration menu, locally, the button becomes gray when pressed and resumes normal appearance when released.
When "gdmsetup" is started from a terminal with ssh X11 forwarding, the button becomes gray when pressed and resumes normal appearance when released.
When started with "sudo gdmsetup" and "gksu gdmsetup" from a terminal with ssh X11 forwarding, the button becomes gray when pressed and stays gray/inactive when released.

User-admin behaviour, for reference:

When "users-admin" is started from a terminal with ssh X11 forwarding, the unlock button is already gray and a text (in swedish that translates to) "Not authorized to make changes".
When users-admin is started with "sudo users-admin" there is no unlock button, and operations are allowed.

Ubuntu 9.10 was installed from scratch but /home was copied from a 9.04 system.

No process "polkit-gnome-authentication-agent-1" is running.

Kernel: 2.6.31-17-generic

Output from the "gdmsetup" command:

** (gdmsetup:11752): DEBUG: init delay=20
** (gdmsetup:11752): DEBUG: GdmUserManager: skipping shell /bin/false
** (gdmsetup:11752): DEBUG: GdmUserManager: Found current seat: /org/freedesktop/ConsoleKit/Seat3
** (gdmsetup:11752): DEBUG: GdmUserManager: running 'ck-history --frequent --seat='Seat3' --session-type='''
** (gdmsetup:11752): DEBUG: GdmUserManager: explicitly skipping user: nobody
** (gdmsetup:11752): DEBUG: GdmUserManager: user icon changed
** (gdmsetup:11752): DEBUG: adding monitor for '/home/lha/.face'
** (gdmsetup:11752): DEBUG: GdmUserManager: user icon changed
** (gdmsetup:11752): DEBUG: adding monitor for '/home/david/.face'
** (gdmsetup:11752): DEBUG: GdmUserManager: user icon changed
** (gdmsetup:11752): DEBUG: adding monitor for '/home/guest/.face'
** (gdmsetup:11752): DEBUG: Getting list of sessions for user 1002
** (gdmsetup:11752): DEBUG: Found 0 sessions for user guest
** (gdmsetup:11752): DEBUG: Getting list of sessions for user 1001
** (gdmsetup:11752): DEBUG: Found 2 sessions for user david
** (gdmsetup:11752): DEBUG: GdmUserManager: not adding session on other seat: /org/freedesktop/ConsoleKit/Session3
** (gdmsetup:11752): DEBUG: GdmUserManager: not adding session without a x11 display: /org/freedesktop/ConsoleKit/Session4
** (gdmsetup:11752): DEBUG: Getting list of sessions for user 1000
** (gdmsetup:11752): DEBUG: Found 1 sessions for user lha
** (gdmsetup:11752): DEBUG: GdmUserManager: not adding session on other seat: /org/freedesktop/ConsoleKit/Session2
** (gdmsetup:11752): DEBUG: GdmUserManager: history output: david    1

** (gdmsetup:11752): DEBUG: Login freq 1=0 2=1
** (gdmsetup:11752): DEBUG: Login freq 1=0 2=1
** (gdmsetup:11752): DEBUG: Login freq 1=0 2=0
** (gdmsetup:11752): DEBUG: init user='lha' auto=False

Output from ck-list-sessions:

Session2:
	unix-user = '1000'
	realname = 'XXXXXXXXXX'
	seat = 'Seat1'
	session-type = ''
	active = TRUE
	x11-display = ':0'
	x11-display-device = '/dev/tty7'
	display-device = ''
	remote-host-name = ''
	is-local = TRUE
	on-since = '2010-01-24T14:30:22.040833Z'
	login-session-id = ''
Session3:
	unix-user = '1001'
	realname = 'David'
	seat = 'Seat2'
	session-type = ''
	active = FALSE
	x11-display = ''
	x11-display-device = ''
	display-device = '/dev/ssh'
	remote-host-name = 'c-XXXXXX.XXX-XXX-XXXXXX.cust.XXXXXX.se'
	is-local = FALSE
	on-since = '2010-01-24T16:04:17.074351Z'
	login-session-id = ''
Session4:
	unix-user = '1001'
	realname = 'David'
	seat = 'Seat3'
	session-type = ''
	active = FALSE
	x11-display = ''
	x11-display-device = ''
	display-device = '/dev/ssh'
	remote-host-name = 'c-XXXXXX.XXX-XXX-XXXXXX.cust.XXXXXX.se'
	is-local = FALSE
	on-since = '2010-01-24T16:10:31.555830Z'
	login-session-id = ''

(Some names and numbers replaced with XXX)