This one is a bit tricky.
If you tried selecting the disconnect button at the top of screen, you saw the below notification Pressing Disconnect will close the window but will leave the virtual desktop running.

The Citrix policies will log you out after you have disconnected and not reconnected for 20 minutes.
To truly disconnect from the Citrix desktop, you need to sign out of the machine.
To do this:

- Click on the Start Menu
- Select the top icon, which resembles a person icon
- Select Sign out
You will not be disconnected for the system and will not longer use a license!