I do not know if this is a JavaFX or Java platform related issue, but it does affect usability of JavaFX webstart applications for me.
The test page I am using is http://learnjavafx.typepad.com/weblog/rich-client-java.html (click on the globe on the page to open the jnlp).

The issue I get is the attached error pages are displayed and the webstart application does not launch.
The errors happen early on in the process because when I used the Java control panel to enable debugging and tracing and the Java debug console, the console is never displayed - I just get the failure dialogs.

After much digging around, I found the file that the launcher was unable to find. I guess, somewhat luckily, when the launch fails, it just leaves the tmp file in the directory, as there were lots of similar tmp files with a JNL prefix followed by a different number, e.g. JNL523.tmp, JNL524.tmp, JNL525.tmp, etc.

The file was located in the directory: C:\Documents and Settings\John_Smith\Local Settings\Temp

From the error in the launch failure details (where the launcher looks like it is just looking in a Settings\Temp directory) it appears that the launcher is not correctly parsing this temporary directory and is truncating everything before the space in the directory and failing to find the temporary data it needs for the launch to work. My guess is this may have something to do with the spaces in the file paths under Windows XP and may not occur under Windows 7, but I have not tested that theory.

The content of the Temp file the launcher could not find (JNL541.tmp) was:
docbase=http://learnjavafx.typepad.com/weblog/rich-client-java.html
jnlphref=ReturnRichClientJava.jnlp
embedded=
vm_args=-Djnlp.fx=2.0.2

Viewing source of the html file http://learnjavafx.typepad.com/weblog/rich-client-java.html, shows a launch script =>
<script src="http://java.com/js/dtjava.js"></script>
...
dtjava.launch(
  {
    url : 'ReturnRichClientJava.jnlp'
  },
  {
    javafx : '2.0+'
  },
  {}
);