For Citrix XenDesktop the agent is installed on the Virtual Desktop either via placing it on the master/golden image or deployment via SCCM. The agent acts almost identical to as if it was installed on a laptop or workstation - which the obvious channels not applying (such as Removable Storage). The drive redirection that Citrix does will be classed as a 'Network Share' in later verstions that aren't using Generic USB Mapping.
For Citrix XenApp, the agent is installed on the server. Be aware that the maximum supported concurrent sessions for XenApp is 40 concurrent session per server (40:1) - which is typically far below what most organisations will have running without planning for DLP.
The scalability document in the previous response is accurate for Citrix XenApp - https://support.symantec.com/en_US/article.DOC8801.html