When Citrix Profile Manager 5.x is being used with Microsoft's Internet Explorer 10 or later the users internet cookies are not being processed correctly.
Leading to:
"With Protected Mode or Enhanced Protected Mode, cookies in Microsoft Internet Explorer 10 or later are not supported on Windows 7 or later. When these modes are enabled, cookies are not processed or handled by Profile management."
Citrix is aware of this issue and is currently working on a fix to resolve the issue at this time.
NOTE:There is a possible work around but it will increase the size of the user profiles which could affect logon times. This workaround is provide as is with no guarantees to resolve the issue or that other issues will not arise from implementing it so use at your own risk!
The issue may be resolved by saving the users WebCache folder in Citrix Profile Manager. (You can try just saving the WebCacheV01.dat file also)
The WebCache folder stores the WebCacheV01.dat file which is what stores browser history, temporary internet files, cookies, etc... and is typically saved on the users machine in the following location.
C:\Users\<user name>\AppData\Local\Microsoft\Windows\WebCache\WebCacheV01.dat
Note: User name is the name of your user account (Ex: John)
If you use In private browsing, no information will be stored to the cache. (I have also seen this file named WebCacheV and a number after it other than "01" )
This is talked about on the Microsoft's TechNet Forums:
Internet Explorer 10 cookies and roaming profiles (WebCache directory)
http://social.technet.microsoft.com/Forums/ie/en-US/188959ff-7ccf-40d6-b6a5-7ba3f1de41e7/internet-explorer-10-cookies-and-roaming-profiles-webcache-directory?forum=ieitprocurrentver