If you add Classic applications to the list of approved items, they do not appear in the "My Applications" folder when using Simple Finder. This occurs when managing users via Workgroup Manager or via the Limitations feature found in the Accounts pane of System Preferences.
This issue happens with Mac OS X and Mac OS X Server versions 10.3.
As a workaround for clients managed via Workgroup Manager, consider adding that classic application to the list of Dock items.