Steve,
That was a mistake in the show. It is not possible to assign a policy at the forest level. The proper GPO application order is:
Site
Domain
Parent OU
Child OU
Local Policy
The notes were corrected and an errata was added to the episode page, but someone may have accidentally removed the errata. I'll have one of the guys update that in the morning.
Sorry for the confusion,
Don Pezet
Host, ITProTV
