This is expected behaviour. In a nutshell, PGP only synchronises with the Laptop's view of the user's creds. If the password is changed via Citrix (i.e. not from the Laptop), then the Laptop will not be aware of the new password until the user has logged off and back on while connected to the network.
The below articles recommends changing passwords via the Laptop using Ctrl+Alt+Del:
http://www.symantec.com/docs/TECH189444
http://www.symantec.com/docs/HOWTO79569