Pkacer,
If you want to protect your thin clients the same way you protect your full boxes you can install the DLP agent on your Citrix servers and it will monitor all the user sessions there.
You'll want to test this out carefully as the DLP agent will be monitoring many times more activity than a PC with a single user and thus will require some more resources than a 'regular' agent. Combine that with the fact that Citrix servers tend to be very fully loaded to begin with and you can run into resource issues.
But adding that agent to your Citrix server will get you the same protection for those clients as you have on your PC's.
Regarding upgrading your license, when you purchase a different license you apply the .slf file to Enforce and it will unlock whatever new features you purchased.
Hope that helps,
Tim