Currently all Windows Embedded thin clients has this option disabled by factory options. You can enable it following these steps:
Note: PowerShell with ThinMan
If you use the ThinMan to send PowerShell scripts to the thin client you don't have necessarily to enable the option on the thin client that could weak the thin client security.Just add the string "-ExecutionPolicy Unrestricted" on the "Command line" parameters when you create the execution of a PowerShell script (see Contextual Menu - Device Update for Windows Embedded link).