1) Launch Citrix App Centre
2) Click policies
3) Click user policies
4) Located Desktop Wallpaper
5) Change to Prohibited. See screen shot below.
If you wish to set a blue wall paper for Citrix users:
1) Launch Group Policy Management console
2) Create a new policy or amend an existing
3) Expand User Configuration, Policies, Administrative Templates, Control Panel, Personalization
4) Double click ‘Force a specific visual style file or force Windows Classic’
5) Set to enable