Well, as I don't have syzygy bases there is very little I can say without seeing the debug log. Run XBoard or WinBoard with the extra option -debug when you make such a run where it does not work, and post the xboard.debug file that will be created here. (Having the engine make one move is good enough.)
I tried to just enter some random (non-existing) path into WinBoard, and then started Stockfish. This results in the following winboard.debug file:
winboard.debug wrote:StartChildProcess (dir=".") polyglot -noini -ec "stockfish-6-sse42.exe" -ed "C:\WinBoard-4.8.0\Stockfish" -uci NalimovCache=4 -uci GaviotaTbCache=4
nice engine proc to 10
790 >first : xboard
protover 2
798 <first : PolyGlot 2.0.3 by Fabien Letouzey.
835 <first : feature done=0
835 >first : accepted done
835 <first : feature analyze=1
835 >first : accepted analyze
835 <first : feature exclude=1
835 >first : accepted exclude
836 <first : feature colors=0
836 >first : accepted colors
836 <first : feature draw=1
836 >first : accepted draw
836 <first : feature ics=1
836 >first : accepted ics
836 <first : feature myname="Stockfish 6 64 POPCNT"
836 >first : accepted myname
836 <first : feature name=1
836 >first : accepted name
836 <first : feature pause=0
836 >first : accepted pause
836 <first : feature ping=1
837 >first : accepted ping
837 <first : feature playother=1
837 >first : accepted playother
837 <first : feature sigint=1
837 >first : accepted sigint
837 <first : feature reuse=1
837 >first : accepted reuse
837 <first : feature san=0
837 >first : accepted san
837 <first : feature setboard=1
837 >first : accepted setboard
837 <first : feature sigint=0
837 >first : accepted sigint
837 <first : feature sigterm=0
838 >first : accepted sigterm
838 <first : feature time=1
838 >first : accepted time
838 <first : feature usermove=1
838 >first : accepted usermove
838 <first : feature nps=1
838 >first : accepted nps
838 <first : feature memory=1
838 >first : accepted memory
838 <first : feature smp=1
838 >first : accepted smp
841 <first : feature egt="syzygy"
841 >first : accepted egt
841 <first : feature variants="normal,fischerandom"
841 >first : accepted variants
841 <first : feature option="Write Debug Log -check 0"
841 >first : accepted option
841 <first : feature option="Contempt -spin 0 -100 100"
841 >first : accepted option
841 <first : feature option="Min Split Depth -spin 0 0 12"
841 >first : accepted option
841 <first : feature option="Clear Hash -button"
841 >first : accepted option
841 <first : feature option="MultiPV -spin 1 1 500"
841 >first : accepted option
841 <first : feature option="Skill Level -spin 20 0 20"
841 >first : accepted option
841 <first : feature option="Move Overhead -spin 30 0 5000"
841 >first : accepted option
841 <first : feature option="Minimum Thinking Time -spin 20 0 5000"
841 >first : accepted option
842 <first : feature option="Slow Mover -spin 80 10 1000"
842 >first : accepted option
842 <first : feature option="SyzygyProbeDepth -spin 1 1 100"
842 >first : accepted option
842 <first : feature option="Syzygy50MoveRule -check 1"
842 >first : accepted option
842 <first : feature option="SyzygyProbeLimit -spin 6 0 6"
842 >first : accepted option
842 <first : feature option="Polyglot exclude move -string "
843 >first : accepted option
843 <first : feature option="Polyglot SettingsFile -file .\_PG\Stockfish_6_64_POPCNT.ini"
843 >first : accepted option
843 <first : feature option="Polyglot Log -check 0"
843 >first : accepted option
843 <first : feature option="Polyglot LogFile -file polyglot.log"
843 >first : accepted option
843 <first : feature option="Polyglot Resign -check 0"
844 >first : accepted option
844 <first : feature option="Polyglot ResignMoves -spin 3 0 10000"
844 >first : accepted option
844 <first : feature option="Polyglot QueenNeverResigns -check 1"
844 >first : accepted option
844 <first : feature option="Polyglot ResignScore -spin 600 0 10000"
844 >first : accepted option
844 <first : feature option="Polyglot Handledraws -check 0"
844 >first : accepted option
844 <first : feature option="Polyglot ContemptScore -spin 30 0 10000"
845 >first : accepted option
845 <first : feature option="Polyglot Book -check 0"
845 >first : accepted option
867 <first : feature option="Polyglot BookFile -file book.bin"
868 >first : accepted option
868 <first : feature option="Polyglot BookRandom -check 1"
868 >first : accepted option
868 <first : feature option="Polyglot BookDepth -spin 256 0 256"
868 >first : accepted option
868 <first : feature option="Polyglot ShowTbHits -check 0"
868 >first : accepted option
868 <first : feature option="Polyglot STFudge -spin 20 0 1000"
869 >first : accepted option
869 <first : feature option="Polyglot SyncStop -check 0"
869 >first : accepted option
869 <first : feature option="Polyglot Save -save"
869 >first : accepted option
869 <first : feature done=1
870 >first : accepted done
872 >first : memory 132
872 >first : egtpath syzygy C:\SyZyGy
872 >first : cores 1
872 >first : new
random
872 >first : ics -
872 >first : level 40 10 0
872 >first : post
872 >first : hard
872 >first : easy
873 >first : ping 1
Impossible move , type = 0
896 <first : pong 1
From the boldface messages you can see that Polyglot does report that Stockfish supports syzygy EGTs, and that WinBoard does communicate the path I specified to Polyglot. So everything seems to work fine for me.
[Edit] For completeness I also switched on Polyglot logging, by starting WinBoard with Stockfish as engine, ticking the Polyglot Log checkbox, pressing Polyglot Save, and restarting WinBoard. (Because I am interested to see what goes on at startup, and when I tick the Log checkbox the startup was already done. So I have to start it again when logging is on from the beginning.)
The Polyglot.log file that is created this way contains
1443509072.153 POLYGLOT *** LOGFILE OPENED ***
1443509072.153 Adapter->Engine: setoption name Hash value 132
1443509072.153 POLYGLOT *** Mainloop started ***
1443509072.346 GUI->Adapter: xboard
1443509072.346 GUI->Adapter: protover 2
1443509072.346 Adapter->GUI: feature done=0
1443509072.346 Adapter->GUI: feature analyze=1
1443509072.346 Adapter->GUI: feature exclude=1
1443509072.346 Adapter->GUI: feature colors=0
1443509072.346 Adapter->GUI: feature draw=1
1443509072.346 Adapter->GUI: feature ics=1
1443509072.346 Adapter->GUI: feature myname="Stockfish 6 64 POPCNT"
1443509072.346 Adapter->GUI: feature name=1
1443509072.346 Adapter->GUI: feature pause=0
1443509072.346 Adapter->GUI: feature ping=1
1443509072.347 Adapter->GUI: feature playother=1
1443509072.347 Adapter->GUI: feature sigint=1
1443509072.347 Adapter->GUI: feature reuse=1
1443509072.347 Adapter->GUI: feature san=0
1443509072.347 Adapter->GUI: feature setboard=1
1443509072.347 Adapter->GUI: feature sigint=0
1443509072.347 Adapter->GUI: feature sigterm=0
1443509072.347 Adapter->GUI: feature time=1
1443509072.347 Adapter->GUI: feature usermove=1
1443509072.347 Adapter->GUI: feature nps=1
1443509072.347 Adapter->GUI: feature memory=1
1443509072.347 Adapter->GUI: feature smp=1
1443509072.347 Adapter->GUI: feature egt="syzygy"
1443509072.347 Adapter->GUI: feature variants="normal,fischerandom"
1443509072.347 Adapter->GUI: feature option="Write Debug Log -check 0"
1443509072.347 Adapter->GUI: feature option="Contempt -spin 0 -100 100"
1443509072.347 Adapter->GUI: feature option="Min Split Depth -spin 0 0 12"
1443509072.347 Adapter->GUI: feature option="Clear Hash -button"
1443509072.347 Adapter->GUI: feature option="MultiPV -spin 1 1 500"
1443509072.347 Adapter->GUI: feature option="Skill Level -spin 20 0 20"
1443509072.347 Adapter->GUI: feature option="Move Overhead -spin 30 0 5000"
1443509072.347 Adapter->GUI: feature option="Minimum Thinking Time -spin 20 0 5000"
1443509072.347 Adapter->GUI: feature option="Slow Mover -spin 80 10 1000"
1443509072.347 Adapter->GUI: feature option="SyzygyProbeDepth -spin 1 1 100"
1443509072.347 Adapter->GUI: feature option="Syzygy50MoveRule -check 1"
1443509072.347 Adapter->GUI: feature option="SyzygyProbeLimit -spin 6 0 6"
1443509072.347 Adapter->GUI: feature option="Polyglot exclude move -string "
1443509072.347 Adapter->GUI: feature option="Polyglot SettingsFile -file .\_PG\Stockfish_6_64_POPCNT.ini"
1443509072.347 Adapter->GUI: feature option="Polyglot Log -check 1"
1443509072.347 Adapter->GUI: feature option="Polyglot LogFile -file polyglot.log"
1443509072.347 Adapter->GUI: feature option="Polyglot Resign -check 0"
1443509072.347 Adapter->GUI: feature option="Polyglot ResignMoves -spin 3 0 10000"
1443509072.347 Adapter->GUI: feature option="Polyglot QueenNeverResigns -check 1"
1443509072.347 Adapter->GUI: feature option="Polyglot ResignScore -spin 600 0 10000"
1443509072.347 POLYGLOT Decapitalizing "Draw" in option "HandleDraws"
1443509072.347 Adapter->GUI: feature option="Polyglot Handledraws -check 0"
1443509072.347 Adapter->GUI: feature option="Polyglot ContemptScore -spin 30 0 10000"
1443509072.347 Adapter->GUI: feature option="Polyglot Book -check 0"
1443509072.347 Adapter->GUI: feature option="Polyglot BookFile -file book.bin"
1443509072.347 Adapter->GUI: feature option="Polyglot BookRandom -check 1"
1443509072.347 Adapter->GUI: feature option="Polyglot BookDepth -spin 256 0 256"
1443509072.347 Adapter->GUI: feature option="Polyglot ShowTbHits -check 0"
1443509072.347 Adapter->GUI: feature option="Polyglot STFudge -spin 20 0 1000"
1443509072.348 Adapter->GUI: feature option="Polyglot SyncStop -check 0"
1443509072.348 Adapter->GUI: feature option="Polyglot Save -save"
1443509072.348 Adapter->GUI: feature done=1
1443509072.354 GUI->Adapter: accepted done
1443509072.354 GUI->Adapter: accepted analyze
1443509072.354 GUI->Adapter: accepted exclude
1443509072.354 GUI->Adapter: accepted colors
1443509072.354 GUI->Adapter: accepted draw
1443509072.354 GUI->Adapter: accepted ics
1443509072.354 GUI->Adapter: accepted myname
1443509072.354 GUI->Adapter: accepted name
1443509072.354 GUI->Adapter: accepted pause
1443509072.354 GUI->Adapter: accepted ping
1443509072.354 GUI->Adapter: accepted playother
1443509072.354 GUI->Adapter: accepted sigint
1443509072.354 GUI->Adapter: accepted reuse
1443509072.354 GUI->Adapter: accepted san
1443509072.354 GUI->Adapter: accepted setboard
1443509072.354 GUI->Adapter: accepted sigint
1443509072.354 GUI->Adapter: accepted sigterm
1443509072.354 GUI->Adapter: accepted time
1443509072.354 GUI->Adapter: accepted usermove
1443509072.354 GUI->Adapter: accepted nps
1443509072.354 GUI->Adapter: accepted memory
1443509072.354 GUI->Adapter: accepted smp
1443509072.354 GUI->Adapter: accepted egt
1443509072.354 GUI->Adapter: accepted variants
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.354 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted option
1443509072.355 GUI->Adapter: accepted done
1443509072.357 GUI->Adapter: memory 132
1443509072.357 POLYGLOT setting the amount of memory to 132Mb
1443509072.357 POLYGLOT EGTB Cache is 0Mb
1443509072.357 POLYGLOT Not sending option "Hash" since it already has the correct value.
1443509072.357 GUI->Adapter: egtpath syzygy C:\SyZyGy
1443509072.357 POLYGLOT setting the Syzygy path to C:\SyZyGy
1443509072.357 Adapter->Engine: setoption name SyzygyPath value C:\SyZyGy
1443509072.357 GUI->Adapter: cores 1
1443509072.357 POLYGLOT setting the number of cores to 1
1443509072.357 POLYGLOT Not sending option "Threads" since it already has the correct value.
1443509072.357 GUI->Adapter: new
1443509072.357 Adapter->Engine: isready
1443509072.376 Engine->Adapter: info string Found 0 tablebases.
1443509072.376 Engine->Adapter: readyok
1443509072.376 POLYGLOT NEW GAME
I again emphasized the relevant commands in boldface/red, and you can see that the appropriate 'setoption' command is sent to the engine. At least according to Polyglot. And I don't think it can be lying about this, because the engine seems to respond to it with the info string that it did find 0 tablebases. (Which is correct, because I have none, and the folder S:\SyZyGy does not even exist on my system.)
So also at this level everything seems fine; the UCI engine gets informed about the configured syzygy path.