Offline Files - I don't want all of My Documents

I have users setup in AD so Z:\ is mapped to their user folder on the
network. My Documents is redirected to Z: (\\Files\Userdata\Username)

When I enable offline files I want to just map some of my folders in My
Documents, but all get set to offline. When I try do deselect folders by
right clicking, the Work Offline option is greyed out.

What is causing this?