The Windows Terminal Services Sessions are currently not supported, and, the Citrix Presentation Server is not supported too.
Symantec DLP Agent needs to be installed on the Endpoint (not on the Terminal Server) to be able to control user activity.
Symantec DLP Agent cannot site on a Terminal Server to monitor end-user on a Terminal Server Instance, for example, users downloading to their local machine or mapped USB, or user printing to a local printer. Symantec DLP would have to be able to insert its agent into the 'Server Session', which would probable mean some sort of Web based agent.
In general, the best way to address the entire 'unmanaged endpoints' area to utilize the Detection Server such as Network Monitor. Otherwise, an endpoint agent will need to be setup on each virtual environment.
And, for the license, each virtual environment should count as one license.