Installed this hotfix:

Hotfix XAE500W2K8030 – For Citrix XenApp 5.0 for Windows Server 2008 x86
http://support.citrix.com/article/CTX122563

Set the following policy’s:

Citrix Policy’s: Default Policy - User Workspace – Time Zones – Do not estimate local time: Enabled
Citrix Policy’s: Default Policy – User Workspace – Time Zones – Do not use Clients’ local time: Disabled

Local policy: Computer Configuration > Policies > Administrative Templates >Windows Components > Terminal Services > Terminal Server > Device and Resource Redirection > Allow time zone redirection: Enabled

I rebooted the Citrix servers and the Client Time Zone is active for the Citrix users.

Check also: Citrix KB