I'm in the same boat. I am able to enforce it to be 'On' for NEW profiles, but 99% of my clients already have profiles from Outlook XP and as we upgrade I wanted to have Cached Mode on...i know I can't be the first person to run into this but a google search didn't even turn up anything useful...
For what it's worth, I've gone through the Custom Maintenance Wizard and that didn't seem to be able to change the setting for an existing Outlook 2003 profile either.