Well, this is something I've noticed. Every time I relaunch the game I also have to re-tick "high res unit models" checkbox again, and that is what I do. Problem is, I'm not so sure it's working at all.
The models in the game look good enough, but if my eyes don't deceive me, the units shown on the loading screens look a bit sharper, and seem to have much more detailed faces, in particular the roman legions, though I have noticed this for others as well.
Anyone got an idea? I'll post comparison pictures for reference a little later if need be.