In our Windows 2003 Cluster, I was not able to change the MPIO policy to Round Robin after the cluster service was started and was saying something like "Load Balance Policy is not Supported on Selected Device". I came across this solution from Microsoft and wanted to share it with others just in case someone else is experiencing the same problem.
I had to configure a persistent reservation key for the cluster as describe in the knowledge base below.
http://support.microsoft.com/kb/2001302
Ara
The Latest Gartner® Magic Quadrant™Hyperconverged Infrastructure Software